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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2021

Schedule of Debt Securities, Available-for-sale Measured at Fair Value

The following table sets forth information regarding the Company’s AFS securities that were measured at fair value for the three months ended March 31, 2021

AFS Security

Amortized

Cost

Allowance

for credit

losses ⁽¹⁾

Total unrealized gain

Fair Value as of March 31, 2021

U.S. Treasury securities

232,774

—

232,795

(1)

historical credit loss information should be minimally affected by current conditions and reasonable and supportable forecasts. Therefore, the Company did not record expected credit losses for its U.S Treasury securities for the three months ended March 31, 2021.

The following table sets forth information regarding the Company’s AFS securities that were measured at fair value for the year ended December 31, 2020:

AFS Security

Amortized

Cost

Allowance

for credit

losses ⁽¹⁾

Total unrealized gain

Fair Value as of December 31, 2020

U.S. Treasury securities

233,053

—

233,071

(1)

U.S Treasury securities have a long history with no credit losses. Additionally, the Company notes that U.S Treasury securities are explicitly fully guaranteed by a sovereign entity that can print its own currency and that the sovereign entity’s currency is routinely held by central banks and other major financial institutions, is used in international commerce, and commonly viewed as a reserve currency, all of which qualitatively indicate that historical credit loss information should be minimally affected by current conditions and reasonable and supportable forecasts. Therefore, the Company did not record expected credit losses for its U.S Treasury securities for the year ended December 31, 2020.

Schedule of Assets Measured at Fair Value on Nonrecurring Basis

The following table sets forth information regarding the Company's assets that are measured at fair value on a nonrecurring basis and related impairment charges for the three months ended March 31, 2021:

			Fair Value Measurements at Reporting Date Using
	Total		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total Loss on Impairment
2021:
Long-lived assets	$	38,500	$	—	$	—	$	38,500	$	57,182

The following table sets forth information regarding the Company's assets that were measured at fair value on a nonrecurring basis and related impairment charges for the three months ended March 31, 2020:

			Fair Value Measurements at Reporting Date Using
	Total		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total Loss on Impairment
2020:
Long-lived assets	$	114,300	$	—	$	—	$	114,300	$	133,644

Schedule of Impairment on Real Estate Properties

During the three months ended March 31, 2021, the Company recognized impairments of real estate of $57,182 related to three malls.

Impairment Date	Property	Location	Segment Classification	Loss on Impairment		Fair Value
March	Eastland Mall ⁽¹⁾	Bloomington, IL	Malls	$	13,243	$	10,700
March	Old Hickory Mall ⁽²⁾	Jackson, TN	Malls		20,149		12,400
March	Stroud Mall ⁽³⁾	Stroudsburg, PA	Malls		23,790		15,400
				$	57,182	$	38,500

(1)

In accordance with the Company's quarterly impairment process, the Company wrote down the book value of the mall to its estimated fair value of $10,700. The mall had experienced a decline in cash flows due to store closures and rent reductions. Management determined the fair value of Eastland Mall using a discounted cash flow methodology. The discounted cash flow used assumptions including a holding period of nine years, with a sale at the end of the holding period, a capitalization rate of 14.0% and a discount rate of 15.0%.

(2)

In accordance with the Company's quarterly impairment process, the Company wrote down the book value of the mall to its estimated fair value of $12,400. The mall had experienced a decline in cash flows due to store closures and rent reductions. Management determined the fair value of Old Hickory Mall using a discounted cash flow methodology. The discounted cash flow used assumptions including a holding period of nine years, with a sale at the end of the holding period, a capitalization rate of 13.0% and a discount rate of 14.0%.

(3)

In accordance with the Company's quarterly impairment process, the Company wrote down the book value of the mall to its estimated fair value of $15,400. The mall had experienced a decline in cash flows due to store closures and rent reductions. Management determined the fair value of Stroud Mall using a discounted cash flow methodology. The discounted cash flow used assumptions including a holding period of nine years, with a sale at the end of the holding period, a capitalization rate of 11.75% and a discount rate of 12.5%.

During the three months ended March 31, 2020, the Company recognized impairments of real estate of $133,644 related to two malls:

Impairment Date	Property	Location	Segment Classification	Loss on Impairment		Fair Value
March	Burnsville Center ⁽¹⁾	Burnsville, MN	Malls	$	26,562	$	47,300
March	Monroeville Mall ⁽²⁾	Pittsburgh, PA	Malls		107,082		67,000
				$	133,644	$	114,300

(1)

In accordance with the Company's quarterly impairment process, the Company wrote down the book value of the mall to its estimated fair value of $47,300. The mall had experienced a decline in cash flows due to store closures and rent reductions. These factors resulted in a reduction of the expected hold period for this asset based on Management’s assessment that there was an increased likelihood that the loan secured by the mall may not be successfully restructured or refinanced. Management determined the fair value of Burnsville Center using a discounted cash flow methodology. The discounted cash flow used assumptions including a holding period of ten years, with a sale at the end of the holding period, a capitalization rate of 14.5% and a discount rate of 15.5%.

(2)

In accordance with the Company’s quarterly impairment process, the Company wrote down the book value of the mall to its estimated fair value of $67,000. The mall had experienced a decline in cash flows due to store closures and rent reductions. Management determined the fair value of Monroeville Mall using a discounted cash flow methodology. The discounted cash flow used assumptions including a holding period of ten years, with a sale at the end of the holding period, a capitalization rate of 14.0% and a discount rate of 14.5%.