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Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 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
 
December 31, 2019
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
Derivative assets:
 
 
 
 
 
 
 
 
 
 
Interest rate derivatives - floors
$
—

 
$
1

 
$
—

 
$
52

 
$
53

 
Interest rate derivatives - caps
—

 
1

 
—

 
—

 
1

 
Credit default swaps
—

 
(550
)
 
—

 
1,078

 
528

 
Total
$
—

 
$
(548
)
 
$
—

 
$
1,130

 
$
582

(2) 
 
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 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 consolidated statements of operations (in thousands):
 
Gain (Loss) Recognized in Income
 
Year Ended December 31,
 
2019
 
2018
 
2017
 
Assets
 
 
 
 
 
 
Derivative assets:
 
 
 
 
 
 
Interest rate derivatives - floors
$
(152
)
 
$
(179
)
 
$
(1,113
)
 
Interest rate derivatives - caps
(134
)
 
(347
)
 
(371
)
 
Credit default swaps
(1,095
)
(1) 
444

(1 
) 
(785
)
(1 
) 
Options on futures contracts
—

 
—

 
(58
)
 
Total derivative assets
$
(1,381
)
 
$
(82
)
 
$
(2,327
)
 
 
 
 
 
 
 
 
Non-derivative assets:
 
 
 
 
 
 
Investment in Ashford Inc.
$
(5,552
)
 
$
(8,010
)
 
$
9,717

 
Total
(6,933
)
 
(8,092
)
 
7,390

 
Total combined
 
 
 
 
 
 
Interest rate derivatives - floors
$
126

 
$
(179
)
 
$
(1,113
)
 
Interest rate derivatives - caps
(134
)
 
(347
)
 
(371
)
 
Credit default swaps
(1,095
)
 
444

 
(785
)
 
Options on futures contracts
—

 
—

 
213

 
Unrealized gain (loss) on derivatives
(1,103
)
 
(82
)
 
(2,056
)
 
Realized gain (loss) on options interest rate floors
(278
)
(2) 
—

 
—

 
Realized gain (loss) on options on futures contracts
—

 
—

 
(271
)
(2) 
Unrealized gain (loss) on investment in Ashford Inc.
7,872

 
(8,010
)
 
9,717

 
Realized gain (loss) on investment in Ashford Inc.
(13,424
)
(2) 
—

 
—

 
Net
$
(6,933
)
 
$
(8,092
)
 
$
7,390

 

__________________
(1) 
Excludes costs of $253, $253 and $106 associated with credit default swaps for the years ended December 31, 2019, 2018 and 2017, respectively, which is included in “other income (expense)” in our consolidated statements of operations.
(2) 
Included in “other income (expense)” in our consolidated statements of operations.