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) | | Counter-party and Cash Collateral Netting(1) | | Total | | | | | September 30, 2020: | | | | | | | | | | | | Assets | | | | | | | | | | | | Derivative assets: | | | | | | | | | | | | Interest rate derivatives - floors | $ | — |
| | $ | 330 |
| | $ | — |
| | $ | — |
| | $ | 330 |
| (2) | | Interest rate derivatives - caps | — |
| | 1 |
| | — |
| | — |
| | 1 |
| (2) | | Credit default swaps | — |
| | (1,651 | ) | | — |
| | 3,000 |
| | 1,349 |
| (2) | | | — |
| | (1,320 | ) | | — |
| | 3,000 |
| | 1,680 |
| | | Non-derivative assets: | | | | | | | | | | | | Equity securities | 1,741 |
| | — |
| | — |
| | — |
| | 1,741 |
| (3) | | Total | $ | 1,741 |
| | $ | (1,320 | ) | | $ | — |
| | $ | 3,000 |
| | $ | 3,421 |
| | | | | | | | | | | | | | | December 31, 2019: | | | | | | | | | | | | Assets | | | | | | | | | | | | Derivative assets: | | | | | | | | | | | | Interest rate derivatives - floors | $ | — |
| | $ | 42 |
| | $ | — |
| | $ | 257 |
| | $ | 299 |
| (2) | | Interest rate derivatives - caps | — |
| | 47 |
| | — |
| | — |
| | 47 |
| (2) | | Credit default swaps | — |
| | (1,579 | ) | | — |
| | 2,924 |
| | 1,345 |
| (2) | | | — |
| | (1,490 | ) | | — |
| | 3,181 |
| | 1,691 |
| | | Non-derivative assets: | | | | | | | | | | | | Equity securities | 14,591 |
| | — |
| | — |
| | — |
| | 14,591 |
| (3) | | Total | $ | 14,591 |
| | $ | (1,490 | ) | | $ | — |
| | $ | 3,181 |
| | $ | 16,282 |
| | | Liabilities | | | | | | | | | | | | Derivative liabilities: | | | | | | | | | | | | Credit default swaps | — |
| | (1,092 | ) | | — |
| | 1,050 |
| | (42 | ) | (4) | | Net | $ | 14,591 |
| | $ | (2,582 | ) | | $ | — |
| | $ | 4,231 |
| | $ | 16,240 |
| |
____________________________________ | | (1) | Represents net cash collateral posted between us and our counterparties. |
| | (2) | Reported net as “derivative assets, net” in our consolidated balance sheets. |
| | (3) | Reported as “marketable securities” in our consolidated balance sheets. |
(4) Reported net as “derivative liabilities, net” in our consolidated balance sheets.
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Effect of Fair Value Measured Assets and Liabilities on Consolidated Statements of Operations |
The following tables summarize the effect of fair value measured assets and liabilities on the consolidated statements of operations (in thousands): | | | | | | | | | | | Gain (Loss) Recognized in Income | | | Three Months Ended September 30, | | | 2020 | | 2019 | | Assets | | | | | Derivative assets: | | | | | Interest rate derivatives - floors | $ | (95 | ) | | $ | (2,016 | ) | | Interest rate derivatives - caps | (59 | ) | | (300 | ) | | Credit default swaps | 323 |
| (4) | (213 | ) | (4) | | 169 |
| | (2,529 | ) | | Non-derivative assets: | | | | | Equity | (724 | ) | | 343 |
| | Total | (555 | ) | | (2,186 | ) | | Liabilities | | | | | Derivative liabilities: | | | | | Credit default swaps | — |
| (4) | (157 | ) | (4) | Net | $ | (555 | ) | | $ | (2,343 | ) | | | | | | | Total combined | | | | | Interest rate derivatives - floors | $ | 6,185 |
| | $ | (1,866 | ) | | Interest rate derivatives - caps | (59 | ) | | (300 | ) | | Credit default swaps | 323 |
| | (370 | ) | | Unrealized gain (loss) on derivatives | 6,449 |
| (1) | (2,536 | ) | (1) | Realized gain (loss) on interest rate floors | (6,280 | ) | (2) | (150 | ) | (2) | Unrealized gain (loss) on marketable securities | (758 | ) | (3) | 315 |
| (3) | Realized gain (loss) on marketable securities | 34 |
| (2) | 28 |
| (2) | Net | $ | (555 | ) | | $ | (2,343 | ) | |
____________________________________ | | (1) | Reported as “unrealized gain (loss) on derivatives” in our consolidated statements of operations. |
| | (2) | Included in “other income (expense)” in our consolidated statements of operations. |
| | (3) | Reported as “unrealized gain (loss) on marketable securities” in our consolidated statements of operations. |
| | (4) | Excludes costs of $271 and $272 for the three months ended September 30, 2020 and 2019, respectively, included in “other income (expense)” associated with credit default swaps. |
| | | | | | | | | | | Gain (Loss) Recognized in Income | | | Nine Months Ended September 30, | | | 2020 | | 2019 | | Assets | | | | | Derivative assets: | | | | | Interest rate derivatives - floors | $ | 668 |
| | $ | (97 | ) | | Interest rate derivatives - caps | (129 | ) | | (1,414 | ) | | Credit default swaps | 1,019 |
| (4) | (2,003 | ) | (4) | | 1,558 |
| | (3,514 | ) | | Non-derivative assets: | | | | | Equity | 386 |
| | 1,765 |
| | Total | 1,944 |
| | (1,749 | ) | | | | | | | Liabilities | | | | | Derivative liabilities: | | | | | Credit default swaps | — |
| (4) | (1,078 | ) | (4) | Net | $ | 1,944 |
| | $ | (2,827 | ) | | | | | | | Total combined | | | | | Interest rate derivatives - floors | $ | 10,173 |
| | $ | 441 |
| | Interest rate derivatives - caps | (129 | ) | | (1,414 | ) | | Credit default swaps | 1,019 |
| | (3,081 | ) | | Unrealized gain (loss) on derivatives | 11,063 |
| (1) | (4,054 | ) | (1) | Realized gain (loss) on options on interest rate floors | (9,505 | ) | (2) | (538 | ) | (2) | Unrealized gain (loss) on marketable securities | (1,756 | ) | (3) | 1,721 |
| (3) | Realized gain (loss) on marketable securities | 2,142 |
| (2) | 44 |
| (2) | Net | $ | 1,944 |
| | $ | (2,827 | ) | |
____________________________________ | | (1) | Reported as “unrealized gain (loss) on derivatives” in our consolidated statements of operations. |
| | (2) | Included in “other income (expense)” in our consolidated statements of operations. |
| | (3) | Reported as “unrealized gain (loss) on marketable securities” in our consolidated statements of operations. |
(4) Excludes costs of $811 and $809 for the nine months ended September 30, 2020 and 2019, respectively, included in “other income (expense)” associated with credit default swaps.
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