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Fair Value Measurements | 9 Months Ended
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Sep. 30, 2025
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 marketplace 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. The fair value of interest rate caps are determined using the market standard methodology of discounting the future expected cash receipts that would occur if variable interest rates rose above the strike rates of the caps. Variable interest rates used in the calculation of projected receipts and payments on the caps are based on an expectation of future interest rates derived from observable market interest rate curves (SOFR forward curves) and volatilities (Level 2 inputs). We also incorporate credit valuation adjustments (Level 3 inputs) to appropriately reflect both our own nonperformance risk and the respective counterparty’s nonperformance risk. 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, 2025, the SOFR interest rate forward curve (Level 2 inputs) assumed a downtrend from 4.129% to 3.087% 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. Investment in securities includes mortgage-backed securities. These securities are classified as available for sale and are generally reported at fair value utilizing Level 2 inputs where the Company obtains fair value measurements from an external pricing vendor. Prices received from the vendor are analyzed based on various sources of observable market data. If prices are not within certain tolerance levels that are based on the asset type’s characteristics, the exception is researched and, if the price is not able to be validated, an alternate pricing vendor is utilized. 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, 2025 |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |
CMBS | $ | — |  |  | $ | 17,277 |  |  | $ | — |  |  |  |  | $ | 17,277 |  | (1)
Derivative assets: |  |  |  |  |  |  |  |  |  |
Interest rate derivatives - caps | — |  |  | 164 |  |  | — |  |  |  |  | 164 |  | (2)
Total | $ | — |  |  | $ | 17,441 |  |  | $ | — |  |  |  |  | $ | 17,441 |  |
| Quoted Market Prices (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  |  |  | Total |  |  |  |  |  |  |  |  |  |
December 31, 2024 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
CMBS | $ | — |  |  | $ | 41,535 |  |  | $ | — |  |  |  |  | $ | 41,535 |  | (1) |  |  |  |  |  |  |  |  |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives - caps | — |  |  | 356 |  |  | — |  |  |  |  | 356 |  | (2) |  |  |  |  |  |  |  |  |
Total | $ | — |  |  | $ | 41,891 |  |  | $ | — |  |  |  |  | $ | 41,891 |  |  |  |  |  |  |  |  |  |  |
__________________ (1)Reported as “investment in securities” in our condensed consolidated balance sheet. (2)Reported as “derivative assets” in our condensed consolidated balance sheets. 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, |  |  |  |  |  |
| 2025 |  | 2024 |  | 2025 |  | 2024 |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives - caps | $ | (118) |  |  | $ | (735) |  |  | $ | (301) |  |  | $ | 511 |  |  |  |  |  |  |
Total derivative assets | $ | (118) |  |  | $ | (735) |  |  | $ | (301) |  |  | $ | 511 |  |  |  |  |  |  |
Non-derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |
Investment in securities | $ | — |  |  | $ | — |  |  | $ | (1,250) |  |  | $ | — |  |  |  |  |  |  |
Total | $ | (118) |  |  | $ | (735) |  |  | $ | (1,551) |  |  | $ | 511 |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |
Warrants | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 12 |  |  |  |  |  |  |
Net | $ | (118) |  |  | $ | (735) |  |  | $ | (1,551) |  |  | $ | 523 |  |  |  |  |  |  |
Total combined |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives - caps | $ | (299) |  |  | $ | (1,746) |  |  | $ | (850) |  |  | $ | (3,710) |  |  |  |  |  |  |
Warrants | — |  |  | — |  |  | — |  |  | 12 |  |  |  |  |  |  |
Unrealized gain (loss) on derivatives | (299) |  | (1) | (1,746) |  | (1) | (850) |  | (1) | (3,698) |  | (1) |  |  |  |  |
Realized gain (loss) on interest rate caps | 181 |  | (1) (2) | 1,011 |  | (1) (2) | 549 |  | (1) (2) | 4,221 |  | (1) (2) |  |  |  |  |
Realized gain (loss) on investment in securities | — |  |  | — |  |  | (1,250) |  | (3) | — |  |  |  |  |  |  |
Net | $ | (118) |  |  | $ | (735) |  |  | $ | (1,551) |  |  | $ | 523 |  |  |  |  |  |  |
________ (1)Reported in “realized and unrealized gain (loss) on derivatives” in our condensed consolidated statements of operations. (2)Represents settled and unsettled payments from counterparties on interest rate caps. (3)Reported in “other income (expense)” in our condensed consolidated statements of operations. The amortized cost of the CMBS at September 30, 2025 and December 31, 2024, was $17.3 million and $42.3 million, respectively. The unrealized gain (loss) recognized as a change in other comprehensive income (loss) for the three and nine months ended September 30, 2025 was $143,000 and $742,000, respectively. During the nine months ended September 30, 2025, the Company sold a portion of the CMBS with a par value of $25 million resulting in a realized loss of approximately $1.3 million included in “other income (expense)” on the condensed consolidated statements of operations. As a result of the sale, $68,000 of unrealized gain was reclassified to realized loss during the nine months ended September 30, 2025. There was no unrealized gain (loss) recognized as a change in other comprehensive income (loss) for the three months ended September 30, 2025. There was no unrealized gain (loss) recognized as a change in other comprehensive income (loss) for the three and nine months ended September 30, 2024.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb)(1) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 3: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 13: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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