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Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2017
Fair Value Disclosures [Abstract]  
Assets and Liabilities Measured at Fair Value on a Recurring Basis
The following tables present 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)
 
Counterparty and Cash Collateral Netting(1)
 
Total
 
September 30, 2017
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
Derivative assets:
 
 
 
 
 
 
 
 
 
 
Interest rate derivatives - floors
$

 
$
130

 
$

 
$
47

 
$
177

 
Interest rate derivatives - caps

 
6

 

 

 
6

 
Credit default swaps

 
512

 

 
63

 
575

 
 

 
648

 

 
110

 
758

(2) 
Non-derivative assets:
 
 
 
 
 
 
 
 
 
 
Investment in Ashford Inc.
11,810

 

 

 

 
11,810

 
Total
$
11,810

 
$
648

 
$

 
$
110

 
$
12,568

 
 
Quoted Market Prices (Level 1)
 
Significant Other
Observable Inputs
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
 
Counterparty and Cash Collateral Netting(1)
 
Total
 
December 31, 2016
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
Derivative assets:
 
 
 
 
 
 
 
 
 
 
Interest rate derivatives - floors
$

 
$
1,091

 
$

 
$

 
$
1,091

 
Options on futures contracts
58

 

 

 

 
58

 
 
58

 
1,091

 

 

 
1,149

(1) 
Non-derivative assets:
 
 
 
 
 
 
 
 
 
 
Investment in Ashford Inc.
8,407

 

 

 

 
8,407

 
Total
$
8,465

 
$
1,091

 
$

 
$

 
$
9,556

 
__________________
(1) 
Represents net cash collateral posted between us and our counterparties.
(2) 
Reported as “derivative assets” in the condensed 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 the condensed consolidated statements of operations (in thousands):
 
 
Gain (Loss) Recognized in Income
 
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
 
 
2017
 
2016
 
2017
 
2016
 
Assets
 
 
 
 
 
 
 
 
 
Derivative assets:
 
 
 
 
 
 
 
 
 
Interest rate derivatives - floors
 
$
(132
)
 
$
(3,911
)
 
$
(1,026
)
 
$
2,336

 
Interest rate derivatives - caps
 
(24
)
 
(2
)
 
(341
)
 
(62
)
 
Credit default swaps (1)
 
(375
)
 

 
(375
)
 

 
Options on futures contracts
 

 
(77
)
 
(58
)
 
(134
)
 
Total derivative assets
 
$
(531
)
 
$
(3,990
)
 
$
(1,800
)
 
$
2,140

 
 
 
 
 
 
 


 


 
Non-derivative assets:
 
 
 
 
 
 
 
 
 
Investment in Ashford Inc.
 
1,875

 
(458
)
 
3,403

 
(1,091
)
 
Total
 
$
1,344

 
$
(4,448
)
 
$
1,603

 
$
1,049

 
Total combined
 
 
 
 
 
 
 
 
 
Interest rate derivatives - floors
 
$
(132
)
 
$
(3,911
)
 
$
(1,026
)
 
$
2,336

 
Interest rate derivatives - caps
 
(24
)
 
(2
)
 
(341
)
 
(62
)
 
Credit default swaps
 
(375
)
 

 
(375
)
 

 
Options on futures contracts
 

 
1

 
213

 
(56
)
 
Unrealized gain (loss) on derivatives
 
(531
)
 
(3,912
)
 
(1,529
)
 
2,218

 
Realized gain (loss) on options on futures contracts
 

 
(78
)
(2) 
(271
)
(2) 
(78
)
(2) 
Unrealized gain (loss) on investment in Ashford Inc.
 
1,875

 
(458
)
 
3,403

 
(1,091
)
 
Net
 
$
1,344

 
$
(4,448
)
 
$
1,603

 
$
1,049

 
_______________
(1) 
Excludes costs of $22 associated with credit default swaps for both the three and nine months ended September 30, 2017 included in “other income (expense)” in the condensed consolidated statements of operations.
(2) 
Included in “other income (expense)” in the condensed consolidated statements of operations.