Fair Value Measurements

3 Months Ended

Mar. 31, 2021

Recurring Measurements

The following financial instruments are remeasured at fair value on a recurring basis:


	Fair Value Measurements as of
	March 31, 2020						December 31, 2020
Cash Flow Hedges: (a)	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Derivative interest rate liabilities (b)	$	—	$	(9,508)	$	—	$	—	$	(12,449)	$	—

(a)During the twelve months subsequent to March 31, 2021, an estimated $4,179 of derivative interest rate liabilities recognized in accumulated comprehensive loss will be reclassified into earnings.

(b)The Company's and IAGM's derivative liabilities are recognized as a part of other liabilities and investment in unconsolidated entities, respectively, on the Company's condensed consolidated balance sheets.

Level 1

At March 31, 2021 and December 31, 2020, the Company had no Level 1 recurring fair value measurements.

Level 2

As of March 31, 2021 and December 31, 2020, the Company determined that the credit valuation adjustments associated with nonperformance risk are not significant to the overall valuation of its derivatives. As a result, the Company's derivative valuations in their entirety are classified as Level 2 of the fair value hierarchy.

Level 3

At March 31, 2021 and December 31, 2020, the Company had no Level 3 recurring fair value measurements.

Nonrecurring Measurements

Investment Properties

During the three months ended March 31, 2021, the Company had no Level 3 nonrecurring fair value measurements.

During the three months ended March 31, 2020, the Company identified one retail property that had a reduction in its expected holding period and recorded a provision for asset impairment of $9,002 on the condensed consolidated statement of operations and comprehensive income (loss) as a result of the fair value being lower than the property's carrying value. The Company's fair value was based on an executed sales contract. This property was disposed of on May 1, 2020.

Financial Instruments Not Measured at Fair Value

The table below summarizes the estimated fair value of financial instruments presented at carrying values in the Company's condensed consolidated financial statements as of March 31, 2021 and December 31, 2020:


	March 31, 2021				December 31, 2020
	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Mortgages payable	$	106,932	$	105,459	$	107,261	$	106,494
Term loans	$	400,000	$	398,922	$	400,000	$	400,055
Revolving line of credit	$	—	$	—	$	50,000	$	50,032

The Company estimated the fair value of its mortgages payable using a weighted-average effective market interest rate of 4.52% and 4.25% as of March 31, 2021 and December 31, 2020, respectively. The fair value estimate of the term loans and line of credit approximate the carrying value. The assumptions reflect the terms currently available on similar borrowing terms to borrowers with credit profiles similar to that of the Company's. As a result, the Company used a weighted-average interest rate of 1.68% and 1.36% as of March 31, 2021 and December 31, 2020, respectively, to estimate the fair value of its term loans. The Company has determined that its debt instrument valuations are classified in Level 2 of the fair value hierarchy.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details