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Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2018
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, 2018
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
Derivative assets:
 
 
 
 
 
 
 
 
 
 
Interest rate derivatives - floors
$
—

 
$
72

 
$
—

 
$
41

 
$
113

 
Interest rate derivatives - caps
—

 
82

 
—

 
—

 
82

 
Credit default swaps
—

 
13

 
—

 
619

 
632

 
 
—

 
167

 
—

 
660

 
827

(2) 
Non-derivative assets:
 
 
 
 
 
 
 
 
 
 
Investment in Ashford Inc.
14,786

 
—

 
—

 
—

 
14,786

 
Total
$
14,786

 
$
167

 
$
—

 
$
660

 
$
15,613

 
 
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

 
__________________
(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 September 30,
 
Nine Months Ended September 30,
 
 
 
2018
 
2017
 
2018
 
2017
 
Assets
 
 
 
 
 
 
 
 
 
Derivative assets:
 
 
 
 
 
 
 
 
 
Interest rate derivatives - floors
 
$
(134
)
 
$
(132
)
 
$
(218
)
 
$
(1,026
)
 
Interest rate derivatives - caps
 
(10
)
 
(24
)
 
(271
)
 
(341
)
 
Credit default swaps
 
(434
)
(1) 
(375
)
(1) 
(314
)
(1) 
(375
)
(1) 
Options on futures contracts
 
—

 
—

 
—

 
(58
)
 
Total derivative assets
 
$
(578
)
 
$
(531
)
 
$
(803
)
 
$
(1,800
)
 
 
 
 
 
 
 


 


 
Non-derivative assets:
 
 
 
 
 
 
 
 
 
Investment in Ashford Inc.
 
2,158

 
1,875

 
(3,338
)
 
3,403

 
Total
 
$
1,580

 
$
1,344

 
$
(4,141
)
 
$
1,603

 
Total combined
 
 
 
 
 
 
 
 
 
Interest rate derivatives - floors
 
$
(134
)
 
$
(132
)
 
$
(218
)
 
$
(1,026
)
 
Interest rate derivatives - caps
 
(10
)
 
(24
)
 
(271
)
 
(341
)
 
Credit default swaps
 
(434
)
 
(375
)
 
(314
)
 
(375
)
 
Options on futures contracts
 
—

 
—

 
—

 
213

 
Unrealized gain (loss) on derivatives
 
(578
)
 
(531
)
 
(803
)
 
(1,529
)
 
Realized gain (loss) on options on futures contracts
 
—

 
—

 
—

 
(271
)
(2) 
Unrealized gain (loss) on investment in Ashford Inc.
 
2,158

 
1,875

 
(3,338
)
 
3,403

 
Net
 
$
1,580

 
$
1,344

 
$
(4,141
)
 
$
1,603

 
_______________
(1) 
Excludes costs of $64 and $190 associated with credit default swaps for the three and nine months ended September 30, 2018 and $22 for both the three and nine months ended September 30, 2017, 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.