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Fair Value Measurements
 12 Months Ended
Dec. 31, 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 December 31, 2021, the LIBOR interest rate forward curve (Level 2 inputs) assumed an uptrend from 0.101% to 1.500% 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
December 31, 2021
Assets
Derivative assets:
Interest rate derivatives - caps$— $139 $— $139 
Total$— $139 $— $139 
(1)
Liabilities
Derivative liabilities:
Warrants— (1,435)$— (1,435)
(2)
Net$— $(1,296)$— $(1,296)
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(1)Reported as “derivative assets” in our consolidated balance sheet.
(2)Reported as “derivative liabilities” in our consolidated balance sheet.
Effect of Fair Value Measured Assets and Liabilities on Consolidated Statements of Operations
The following table summarizes the effect of fair value measured assets and liabilities on our consolidated statements of operations (in thousands):
Gain (Loss) Recognized in Income
Year Ended December 31,
202120202019
Assets
Derivative assets:
Interest rate derivatives - floors$— $— $(152)
Interest rate derivatives - caps$(62)$(93)$(134)
Credit default swaps— 117 
(1)
(1,095)
(1)
Total derivative assets$(62)$24 $(1,381)
Non-derivative assets:
Investment in Ashford Inc.$— $— $(5,552)
Total$(62)$24 $(6,933)
Liabilities
Derivative liabilities:
Warrants94 — — 
Net$32 $24 $(6,933)
Total combined
Interest rate derivatives - floors$— $3,615 $126 
Interest rate derivatives - caps(62)(93)(134)
Credit default swaps— 1,437 (1,095)
Warrants94 — — 
Unrealized gain (loss) on derivatives32 4,959 (1,103)
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 
Realized gain (loss) on investment in Ashford Inc.— 

— (13,424)
Net$32 $24 $(6,933)
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(1)Excludes costs associated with credit default swaps of $191 and $253 for the years ended December 31, 2020 and 2019, 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.