Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2019

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, 2019
Assets
Derivative assets:
Interest rate derivatives - floors	$	—	$	83		$	—	$	96	$	179
Interest rate derivatives - caps	—		4			—		—		4
Credit default swaps	—		(252		)	—		884		632
	—		(165		)	—		980		815		⁽²⁾
Non-derivative assets:
Investment in Ashford Inc.	10,821		—			—		—		10,821
Total	$	10,821	$	(165	)	$	—	$	980	$	11,636



	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, 2018
Assets
Derivative assets:
Interest rate derivatives - floors	$	—	$	76	$	—	$	73	$	149
Interest rate derivatives - caps	—		20		—		—		20
Credit default swaps	—		546		—		57		603
	—		642		—		130		772		⁽²⁾
Non-derivative assets:
Investment in Ashford Inc.	10,114		—		—		—		10,114
Total	$	10,114	$	642	$	—	$	130	$	10,886

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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 our condensed consolidated statements of operations (in thousands):



	Gain (Loss) Recognized in Income
	Three Months Ended March 31,
	2019				2018
Assets
Derivative assets:
Interest rate derivatives - floors	$	(68	)		$	(27	)
Interest rate derivatives - caps	(71		)		(5		)
Credit default swaps	(798		)	⁽¹⁾	105			⁽¹⁾
Total derivative assets	$	(937	)		$	73

Non-derivative assets:
Investment in Ashford Inc.	707				528
Total	$	(230	)		$	601
Total combined
Interest rate derivatives - floors	$	(3	)		$	(27	)
Interest rate derivatives - caps	(71		)		(5		)
Credit default swaps	(798		)		105
Unrealized gain (loss) on derivatives	(872		)		73
Realized gain (loss) on interest rate floors	(65		)	⁽²⁾	—
Unrealized gain (loss) on investment in Ashford Inc.	707				528
Net	$	(230	)		$	601

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⁽¹⁾	Excludes costs of $63 associated with credit default swaps for both the three months ended March 31, 2019 and 2018, respectively, that’s 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.