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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Schedule of 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)

__________________

(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 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,
			2021						2020						2021						2020
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:
Warrants			190						—						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
Warrants			190						—						190						—
Unrealized gain (loss) on derivatives			142						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

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

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)(1)
-URI http://asc.fasb.org/extlink&oid=123874694&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=123874694&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=123874694&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=123874694&loc=d3e19207-110258

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