Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2018

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
March 31, 2018
Assets
Derivative assets:
Interest rate derivatives - floors	$	—	$	91	$	—	$	9	$	100
Interest rate derivatives - caps	—		66		—		—		66
Credit default swaps	—		207		—		631		838
	—		364		—		640		1,004		⁽²⁾
Non-derivative assets:
Investment in Ashford Inc.	18,652		—		—		—		18,652
Total	$	18,652	$	364	$	—	$	640	$	19,656



	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, 2017
Assets
Derivative assets:
Interest rate derivatives - floors	$	—	$	118	$	—	$	12	$	130
Interest rate derivatives - caps	—		4		—		—		4
Credit default swaps	—		102		—		358		460
	—		224		—		370		594		⁽²⁾
Non-derivative assets:
Investment in Ashford Inc.	18,124		—		—		—		18,124
Total	$	18,124	$	224	$	—	$	370	$	18,718

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⁽¹⁾	Represents net cash collateral posted between us and our counterparties.


⁽²⁾	Reported as “derivative assets” in our 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,
	2018				2017
Assets
Derivative assets:
Interest rate derivatives - floors	$	(27	)		$	(759	)
Interest rate derivatives - caps	(5		)		(256		)
Credit default swaps	105			⁽¹⁾	—
Options on futures contracts	—				(39		)

Non-derivative assets:
Investment in Ashford Inc.	528				3,091
Total	$	601			$	2,037
Total combined
Interest rate derivatives - floors	$	(27	)		$	(759	)
Interest rate derivatives - caps	(5		)		(256		)
Credit default swaps	105				—
Options on futures contracts	—				117
Unrealized gain (loss) on derivatives	73				(898		)
Realized gain (loss) on options on futures contracts	—				(156		)	⁽²⁾
Unrealized gain (loss) on investment in Ashford Inc.	528				3,091
Net	$	601			$	2,037

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⁽¹⁾	Excludes costs of $63 associated with credit default swaps for the three months ended March 31, 2018 included in “other income (expense)” in our condensed consolidated statements of operations.


⁽²⁾	Included in “other income (expense)” in our condensed consolidated statements of operations.