FAIR VALUE MEASUREMENT (Tables)

9 Months Ended

Sep. 30, 2020

Fair Value Disclosures [Abstract]

Schedule of disclosures concerning financial instruments measured at fair value

Disclosures concerning financial instruments measured at fair value are as follows (in thousands):

	Fair Value Measurements at September 30, 2020 using
	Level 1		Level 2		Level 3		Total
Assets:
Purchase Options related to real estate loans	$	—	$	—	$	8,138	$	8,138
Liabilities:
Interest rate swaps	—		33,410		—		33,410

	Fair Value Measurements at December 31, 2019 using
	Level 1		Level 2		Level 3		Total
Assets:
Purchase Options related to real estate loans	$	—	$	—	$	8,920	$	8,920
Liabilities:
Interest rate swaps	—		16,177		—		16,177

During the nine months ended September 30, 2020, we recorded a Loss on impairment of assets of $0.8 million as follows (dollar amounts in thousands):

	Real Estate Loan 1		Real Estate Loan 2		Real Estate Loan 3		Real Estate Loan 4
Purchase Option value at December 31, 2019	$	2,382	$	2,761	$	977	$	2,800
Loss on impairment of assets	(782)		—		—		—
Purchase Option value at September 30, 2020	$	1,600	$	2,761	$	977	$	2,800

Fair value valuation techniques

Assets and liabilities measured at fair value are based on one or more of the following valuation techniques:

Market approach:	Prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities.
Cost approach:	Amount required to replace the service capacity of an asset (replacement cost).
Income approach:	Techniques used to convert future amounts to a single amount based on market expectations (including present-value, option-pricing, and excess-earnings models).

The estimated fair values of the Purchase Options were based on unobservable inputs for which there is little or no market information available and required us to develop our own assumptions as follows (dollar amounts in thousands):

	Real Estate Loan 1				Real Estate Loan 2				Real Estate Loan 3				Real Estate Loan 4
Exercise price	$	15,143			$	17,377			$	5,503			$	37,800
Term	2.59			(1) (2)	2.68			(1) (2)	2.67			(1) (2)	1.42			(3)
Expected volatility	65.0		%		55.0		%		55.0		%		55.0		%
Risk-free rate	0.3		%		0.3		%		0.3		%		0.2		%
Expected annualized equity dividend yield	6.5		%		7.5		%		17.1		%		—		%

(1)The purchase option is currently exercisable.

(2)The option term is the period from April 1, 2020 through the fully extended maturity dates of the respective mezzanine loans.

(3)The option term is the period from April 1, 2020 through the date in which the development project is completed and the option becomes exercisable.