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Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2020
Fair Value Disclosures [Abstract]  
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.
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.