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Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 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(2)						Total
December 31, 2020
Assets
Derivative assets:
Interest rate derivatives - caps (1)			$	—					$	—					$	—					$	—					$	—
			$	—					$	—					$	—					$	—					$	—		(3)

			Quoted Market Prices (Level 1)						Significant Other Observable Inputs (Level 2)						Significant Unobservable Inputs (Level 3)						Counterparty and Cash Collateral Netting(2)						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		(3)

__________________

(1)As of December 31, 2020, the Company has outstanding interest rate caps. See note 8.

(2)Represents net cash collateral posted between us and our counterparties.

(3)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,
															2020						2019						2018
Assets
Derivative assets:
Interest rate derivatives - floors															$	—					$	(152)					$	(179)
Interest rate derivatives - caps															(93)						(134)						(347)
Credit default swaps															117			(1)			(1,095)			(1)			444			(1)
Total derivative assets															$	24					$	(1,381)					$	(82)
Non-derivative assets:
Investment in Ashford Inc.															$	—					$	(5,552)					$	(8,010)
Total															$	24					$	(6,933)					$	(8,092)
Total combined
Interest rate derivatives - floors															$	3,615					$	126					$	(179)
Interest rate derivatives - caps															(93)						(134)						(347)
Credit default swaps															1,437						(1,095)						444
Options on futures contracts															—						—						—
Unrealized gain (loss) on derivatives															4,959						(1,103)						(82)
Realized gain (loss) on credit default swaps															(1,320)						—						—
Realized gain (loss) on interest rate floors															(3,615)			(2)			(278)			(2)			—
Unrealized gain (loss) on investment in Ashford Inc.															—						7,872						(8,010)
Realized gain (loss) on investment in Ashford Inc.															—						(13,424)						—
Net															$	24					$	(6,933)					$	(8,092)

_______________

(1)Excludes costs associated with credit default swaps of $191, $253, $253 for the years ended December 31, 2020, 2019 and 2018, 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

X

- Definition

Tabular disclosure of the amount of gains or losses for the period included in earnings or resulted in a change to net assets, have arisen from the use of significant unobservable inputs (level 3) to measure the fair value of assets, liabilities, and financial instruments classified in shareholders' equity.

+ References

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)(1)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (d)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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- Definition

Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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