FAIR VALUE MEASUREMENT (Tables)

6 Months Ended

Jun. 30, 2021

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 June 30, 2021 using
	Level 1		Level 2		Level 3		Total
Assets:
Purchase Options related to real estate loans	$	—	$	—	$	7,161	$	7,161
Liabilities:
Interest rate swaps	—		23,285		—		23,285

	Fair Value Measurements at December 31, 2020 using
	Level 1		Level 2		Level 3		Total
Assets:
Purchase Options related to real estate loans	$	—	$	—	$	7,161	$	7,161
Liabilities:
Interest rate swaps	—		30,850		—		30,850

The fair value of our outstanding Purchase Options at June 30, 2021 and December 31, 2020 were as follows (dollar amounts in thousands):

	Real Estate Loan 1		Real Estate Loan 2		Real Estate Loan 3
Purchase Option value at June 30, 2021 and December 31, 2020	$	1,600	$	2,761	$	2,800

Fair value valuation techniques

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

(1)The purchase option is currently exercisable.

(2)The option term is the period from April 1, 2020 through the fully extended original 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.