Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value Disclosures [Abstract]

Summary of Derivative Liabilities Measured at Fair Value

The following table includes a summary of the compound embedded derivative liabilities measured at fair value using significant unobservable (Level 3) inputs (in thousands):

	Fair Value
Balance at December 31, 2021	$	27,906
Re-measurement of fair value	(932)
Balance at March 31, 2022	26,974
Re-measurement of fair value	(2,977)
Balance at June 30, 2022	23,997
Re-measurement of fair value	(719)
Balance at September 30, 2022	23,278
Re-measurement of fair value	409
Balance at December 31, 2022	23,687
Re-measurement of fair value	934
Balance at March 31, 2023	$	24,621

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
March 31, 2023:
Assets
Derivative assets:
Interest rate derivatives - caps	$	—	$	37,348	$	—	$	37,348	(1)
Total	$	—	$	37,348	$	—	$	37,348
Liabilities
Embedded debt derivative	$	—	$	—	$	(24,621)	$	(24,621)	(2)
Net	$	—	$	37,348	$	(24,621)	$	12,727
December 31, 2022:
Assets
Derivative assets:
Interest rate derivatives - caps	$	—	$	47,182	$	—	$	47,182	(1)
Total	$	—	$	47,182	$	—	$	47,182
Liabilities
Embedded debt derivative	$	—	$	—	$	(23,687)	$	(23,687)	(2)
Net	$	—	$	47,182	$	(23,687)	$	23,495

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(1)    Reported net as “derivative assets” in our consolidated balance sheets.

(2)    Reported in “indebtedness, net” in our consolidated balance sheets.

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
	Three Months Ended March 31,
	2023			2022
Assets
Derivative assets:
Interest rate derivatives - caps	$	(4,481)		$	2,279
Total	$	(4,481)		$	2,279
Liabilities
Derivative liabilities:
Embedded debt derivative	$	(934)		$	932
Net	$	(5,415)		$	3,211
Total combined
Interest rate derivatives - caps	$	(14,008)		$	2,279
Embedded debt derivative	(934)			932
Unrealized gain (loss) on derivatives	(14,942)		(1)	3,211		(1)
Realized gain (loss) on interest rate caps	9,527		(1) (2)	—
Net	$	(5,415)		$	3,211

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(1)    Reported as “realized and unrealized gain (loss) on derivatives” in our consolidated statements of operations.

(2)    Represents settled and unsettled payments from counterparties on interest rate caps.