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Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2020
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, 2020
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
Derivative assets:
 
 
 
 
 
 
 
 
 
 
Credit default swaps
$
—

 
$
(323
)
 
$
—

 
$
1,100

 
$
777

 
 
$
—

 
$
(323
)
 
$
—

 
$
1,100

 
$
777

(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, 2019
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
Derivative assets:
 
 
 
 
 
 
 
 
 
 
Interest rate derivatives - floors
$
—

 
$
1

 
$
—

 
$
52

 
$
53

 
Interest rate derivatives - caps
—

 
1

 
—

 
—

 
1

 
Credit default swaps
—

 
(550
)
 
—

 
1,078

 
528

 
 
$
—

 
$
(548
)
 
$
—

 
$
1,130

 
$
582

(2) 
__________________
(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,
 
 
2020
 
2019
 
2020
 
2019
 
Assets
 
 
 
 
 
 
 
 
Derivative assets:
 
 
 
 
 
 
 
 
Interest rate derivatives - floors
$
—

 
$
(717
)
 
$
—

 
$
(51
)
 
Interest rate derivatives - caps
(30
)
 
(26
)
 
(93
)
 
(107
)
 
Credit default swaps
51

(1) 
(61
)
(1) 
226

(1) 
(1,004
)
(1) 
Total derivative assets
$
21

 
$
(804
)
 
$
133

 
$
(1,162
)
 
 
 
 
 
 


 


 
Non-derivative assets:
 
 
 
 
 
 
 
 
Investment in Ashford Inc.
$
—

 
$
(1,471
)
 
$
—

 
$
(5,390
)
 
Total
$
21

 
$
(2,275
)
 
$
133

 
$
(6,552
)
 
Total combined
 
 
 
 
 
 
 
 
Interest rate derivatives - floors
$
3,540

 
$
(667
)
 
$
3,615

 
$
139

 
Interest rate derivatives - caps
(30
)
 
(26
)
 
(93
)
 
(107
)
 
Credit default swaps
51

 
(61
)
 
226

 
(1,004
)
 
Unrealized gain (loss) on derivatives
3,561

 
(754
)
 
3,748

 
(972
)
 
Realized gain (loss) on interest rate floors
(3,540
)
(2) 
(50
)
(2) 
(3,615
)
(2) 
(190
)
(2) 
Unrealized gain (loss) on investment in Ashford Inc.
—

 
(1,471
)
 
—

 
(5,390
)
 
Net
$
21

 
$
(2,275
)
 
$
133

 
$
(6,552
)
 
_______________
(1) 
Excludes costs associated with credit default swaps of $64 for each of the three months ended September 30, 2020 and 2019, as well as $191 and $190 for the nine months ended September 30, 2020 and 2019, 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.