Company: BHR-PD
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001574085-25-000051
Chunk: 19

Company: Braemar Hotels & Resorts Inc.
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 8
Chunk 19
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 values of our derivatives at March 31, 2025, the SOFR interest rate forward curve (Level 2 inputs) assumed a downtrend from 4.319% to 3.404% for the remaining term of our derivatives. Credit spreads (Level 3 inputs) used in determining the fair values derivatives assumed an uptrend in nonperformance risk for us and all of our counterparties through the maturity dates.Investment in securities includes mortgage-backed securities. These securities are classified as available for sale and are generally reported at fair value utilizing Level 2 inputs where the Company obtains fair value measurements from an external pricing vendor. Prices received from the vendor are analyzed based on various sources of observable market data. If prices are not within certain tolerance levels that are based on the asset type’s characteristics, the exception is researched and, if the price is not able to be validated, an alternate pricing vendor is utilized.

14

BRAEMAR HOTELS & RESORTS INC. AND SUBSIDIARIESNOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (continued)(unaudited)

Assets and Liabilities Measured at Fair Value on a Recurring BasisThe 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 OtherObservable Inputs (Level 2)Significant Unobservable Inputs (Level 3)TotalMarch 31, 2025AssetsCMBS$— $42,394 $— $42,394 (1)Derivative assets:Interest rate derivatives - caps— 478 — 478 (2)Total$— $42,872 $— $42,872 Quoted Market Prices (Level 1)Significant OtherObservable Inputs (Level 2)Significant Unobservable Inputs (Level 3)TotalDecember 31, 2024AssetsCMBS$— $41,535 $— $41,535 (1)Derivative assets:Interest rate derivatives - caps— 356 — 356 (2)Total$— $41,891 $— $41,891 __________________(1)Reported as “investment in securities” in our condensed consolidated balance sheet.(2)Reported as “derivative assets” in our condensed consolidated balance sheets.Effect of Fair Value Measured Assets and