Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement

v3.22.1
Fair Value Measurement
3 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
Fair Value Measurement Fair Value Measurement
At March 31, 2022 and December 31, 2021, the carrying value of receivables, accounts payable, accrued expenses and distributions payable to noncontrolling interests approximates fair value due to their short-term nature and falls under the Level 2 hierarchy. The carrying values and fair values of debt instruments are as follows (in thousands):
March 31, 2022 December 31, 2021
Carrying Value Fair Value Carrying Value Fair Value
Recourse debt $ 861,175  $ 782,175  $ 601,684  $ 518,168 
Senior debt 2,539,232  2,494,413  2,269,623  2,261,071 
Subordinated debt 1,296,885  1,252,911  1,160,115  1,160,432 
Securitization debt 2,441,868  2,328,837  2,471,468  2,494,070 
Total $ 7,139,160  $ 6,858,336  $ 6,502,890  $ 6,433,741 
At March 31, 2022 and December 31, 2021, the fair value of certain recourse debt and certain senior, subordinated and securitization loans approximate their carrying values because their interest rates are variable rates that approximate rates currently available to the Company. At March 31, 2022 and December 31, 2021, the fair value of the Company’s other debt instruments are based on rates currently offered for debt with similar maturities and terms. The Company’s fair value of the debt instruments fell under the Level 2 hierarchy. These valuation approaches involve some level of management estimation and judgment, the degree of which is dependent on the price transparency for the instruments or market.
At March 31, 2022 and December 31, 2021, financial instruments measured at fair value on a recurring basis, based upon the fair value hierarchy, are as follows (in thousands):
March 31, 2022
Level 1 Level 2 Level 3 Total
Derivative assets:
Interest rate swaps $ —  $ 110,534  $ —  $ 110,534 
Total $ —  $ 110,534  $ —  $ 110,534 
Derivative liabilities:
Interest rate swaps $ —  $ 29,788  $ —  $ 29,788 
Total $ —  $ 29,788  $ —  $ 29,788 
December 31, 2021
Level 1 Level 2 Level 3 Total
Derivative assets:
Interest rate swaps $ —  $ 26,673  $ —  $ 26,673 
Total $ —  $ 26,673  $ —  $ 26,673 
Derivative liabilities:
Interest rate swaps $ —  $ 83,873  $ —  $ 83,873 
Total $ —  $ 83,873  $ —  $ 83,873 
    
The above balances are recorded in other assets and other liabilities, respectively, in the consolidated balance sheets, except for $2.8 million and nil as of March 31, 2022 and December 31, 2021, respectively, which is recorded in prepaid and other assets and except for $7.1 million and $23.0 million as of March 31, 2022 and December 31, 2021, respectively, which is recorded in accrued expenses and other liabilities.
The Company determines the fair value of its interest rate swaps using a discounted cash flow model that incorporates an assessment of the risk of non-performance by the interest rate swap counterparty and an evaluation of the Company’s credit risk in valuing derivative instruments. The valuation model uses various inputs including contractual terms, interest rate curves, credit spreads and measures of volatility.