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Fair Value Measurements
 9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
Fair Value Hierarchy—Our financial instruments measured at fair value either on a recurring or a non-recurring basis are classified in a hierarchy for disclosure purposes consisting of three levels based on the observability of inputs in the market place as discussed below:
•Level 1: Fair value measurements that are quoted prices (unadjusted) in active markets that we have the ability to access for identical assets or liabilities. Market price data generally is obtained from exchange or dealer markets.
•Level 2: Fair value measurements based on inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. Level 2 inputs include quoted prices for similar assets and liabilities in active markets, and inputs other than quoted prices that are observable for the asset or liability, such as interest rates and yield curves that are observable at commonly quoted intervals.
•Level 3: Fair value measurements based on valuation techniques that use significant inputs that are unobservable. The circumstances for using these measurements include those in which there is little, if any, market activity for the asset or liability.
Fair value of interest rate caps is determined using the net present value of expected cash flows of each derivative based on the market-based interest rate curve and adjusted for credit spreads of us and our counterparties. Fair value of credit default swaps is obtained from a third-party who publishes various information including the index composition and price data (Level 2 inputs). The fair value of credit default swaps does not contain credit-risk-related adjustments as the change in fair value is settled net through posting cash collateral or reclaiming cash collateral between us and our counterparty. Fair value of interest rate floors is calculated using a third-party discounted cash flow model based on future cash flows that are expected to be received over the remaining life of the floor. The fair value of warrants is determined by using the Black-Scholes option pricing model.
When a majority of the inputs used to value our derivatives fall within Level 2 of the fair value hierarchy, the derivative valuations in their entirety are classified in Level 2 of the fair value hierarchy. However, when the valuation adjustments associated with our derivatives utilize Level 3 inputs, such as estimates of current credit spreads, to evaluate the likelihood of default by us and our counterparties, which we consider significant (10% or more) to the overall valuation of our derivatives, the derivative valuations in their entirety are classified in Level 3 of the fair value hierarchy. Transfers of inputs between levels are determined at the end of each reporting period. In determining the fair values of our derivatives at September 30, 2021, the LIBOR interest rate forward curve (Level 2 inputs) assumed an uptrend from 0.080% to 1.188% for the remaining term of our derivatives. Credit spreads (Level 3 inputs) used in determining the fair values derivatives assumed an uptrend in nonperformance risk for us and all of our counterparties through the maturity dates.
Assets and Liabilities Measured at Fair Value on a Recurring Basis
The following table presents 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)		Total
September 30, 2021
Assets
Derivative assets:
Interest rate derivatives - caps$— $74 $— $74 
Total$— $74 $— $74 
(1)
Liabilities
Derivative liabilities:
Warrants— (1,338)$— (1,338)
(2)
Net$— $(1,264)$— $(1,264)
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(1)Reported as “derivative assets” in our condensed consolidated balance sheet.
(2)Reported as “derivative liabilities” in our condensed consolidated balance sheet.
Effect of Fair Value Measured Assets and Liabilities on Condensed Consolidated Statements of Operations
The following table summarizes the effect of fair value measured assets and liabilities on our condensed consolidated statements of operations (in thousands):
Gain (Loss) Recognized in Income
Three Months Ended September 30,Nine Months Ended September 30,
2021202020212020
Assets
Derivative assets:
Interest rate derivatives - caps$(48)$(30)$(126)$(93)
Credit default swaps— 51 
(1)
— 226 
(1)
Total derivative assets$(48)$21 $(126)$133 
Total$(48)$21 $(126)$133 
Liabilities
Derivative liabilities:
Warrants190 — 190 — 
Net$142 $21 $64 $133 
Total combined
Interest rate derivatives - floors$— $3,540 $— $3,615 
Interest rate derivatives - caps(48)(30)(126)(93)
Credit default swaps— 51 — 226 
Warrants190 — 190 — 
Unrealized gain (loss) on derivatives142 3,561 64 3,748 
Realized gain (loss) on interest rate floors— (3,540)
(2)
— (3,615)
(2)
Net$142 $21 $64 $133 
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(1)Excludes costs associated with credit default swaps of $0 and $64 for the three months ended September 30, 2021 and 2020, respectively, as well as $0 and $191 for the nine months ended September 30, 2021 and 2020, 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.