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Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2019
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, 2019
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
Derivative assets:
 
 
 
 
 
 
 
 
 
 
Interest rate derivatives - floors
$
—

 
$
100

 
$
—

 
$
52

 
$
152

 
Interest rate derivatives - caps
—

 
2

 
—

 
—

 
2

 
Credit default swaps
—

 
(459
)
 
—

 
1,078

 
619

 
 
—

 
(357
)
 
—

 
1,130

 
773

(2) 
Non-derivative assets:
 
 
 
 
 
 
 
 
 
 
Investment in Ashford Inc.
4,724

 
—

 
—

 
—

 
4,724

 
Total
$
4,724

 
$
(357
)
 
$
—

 
$
1,130

 
$
5,497

 
 
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

 
__________________
(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 September 30,
 
Nine Months Ended September 30,
 
 
2019
 
2018
 
2019
 
2018
 
Assets
 
 
 
 
 
 
 
 
Derivative assets:
 
 
 
 
 
 
 
 
Interest rate derivatives - floors
$
(717
)
 
$
(134
)
 
$
(51
)
 
$
(218
)
 
Interest rate derivatives - caps
(26
)
 
(10
)
 
(107
)
 
(271
)
 
Credit default swaps
(61
)
(1) 
(434
)
(1) 
(1,004
)
(1) 
(314
)
(1) 
Total derivative assets
$
(804
)
 
$
(578
)
 
$
(1,162
)
 
$
(803
)
 
 
 
 
 
 


 


 
Non-derivative assets:
 
 
 
 
 
 
 
 
Investment in Ashford Inc.
(1,471
)
 
2,158

 
(5,390
)
 
(3,338
)
 
Total
$
(2,275
)
 
$
1,580

 
$
(6,552
)
 
$
(4,141
)
 
Total combined
 
 
 
 
 
 
 
 
Interest rate derivatives - floors
$
(667
)
 
$
(134
)
 
$
139

 
$
(218
)
 
Interest rate derivatives - caps
(26
)
 
(10
)
 
(107
)
 
(271
)
 
Credit default swaps
$
(61
)
 
(434
)
 
$
(1,004
)
 
(314
)
 
Unrealized gain (loss) on derivatives
(754
)
 
(578
)
 
(972
)
 
(803
)
 
Realized gain (loss) on interest rate floors
(50
)
(2) 
—

 
(190
)
(2) 
—

 
Unrealized gain (loss) on investment in Ashford Inc.
(1,471
)
 
2,158

 
(5,390
)
 
(3,338
)
 
Net
$
(2,275
)
 
$
1,580

 
$
(6,552
)
 
$
(4,141
)
 
_______________
(1) 
Excludes costs associated with credit default swaps of $64 for both the three months ended September 30, 2019 and 2018 and $190 for both the nine months ended September 30, 2019 and 2018, respectively, which is 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.