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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Schedule of Secured Notes Measured at Fair Value

The Company elected the fair value option in conjunction with the issuance of the Secured Notes because it believed that the fair value option provided the most accurate depiction of the then-current value of the Secured Notes. On June 7, 2022, the Company completed the redemption of all outstanding Secured Notes.

The following table sets forth information regarding the Secured Notes for the year ended December 31, 2021:


Debt Instrument	Carrying amount as of December 31, 2021		Change in fair value		Fair value as of December 31, 2021 (1)
Secured Notes	$	395,000	$	395	$	395,395

(1)

The fair value was calculated using Level 1 inputs.

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

The table below sets forth information regarding the Company’s AFS securities that were measured at fair value for the nine months ended September 30, 2022. Subsequent to September 30, 2022, we redeemed and purchased additional U.S. Treasury securities. See Note 16 for additional information.


AFS Security	Amortized Cost (1)		Allowance for credit losses (2)		Total unrealized gain		Fair value as of September 30, 2022
U.S. Treasury securities	$	249,638	$	—	$	274	$	249,912

(1)

The U.S. Treasury securities have maturities through July 2023.

(2)

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 nine months ended September 30, 2022.

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


AFS Security	Amortized Cost		Allowance for credit losses (1)		Total unrealized loss			Fair value as of December 31, 2021
U.S. Treasury securities	$	149,999	$	—	$	(3	)	$	149,996

(1)

Schedule of Assets Measured at Fair Value on Nonrecurring Basis

During the nine months ended September 30, 2022, the Successor Company adjusted the negative equity in Greenbrier Mall to zero upon deconsolidation, which represents the estimated fair value of the Successor Company’s investment in that property. See Note 8 for additional information.

During the nine months ended September 30, 2022, the Successor Company sold an outparcel at the Pavilion at Port Orange. Gross sales proceeds amounted to $1,660 and the transaction resulted in a loss on sale of $252.

The following table sets forth information regarding the Predecessor Company's assets that were measured at fair value on a nonrecurring basis and related impairment charges for the nine months ended September 30, 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: Predecessor
Long-lived assets	$	99,390	$	—	$	—	$	99,390	$	120,342

Schedule of Impairment on Real Estate Properties

During the nine months ended September 30, 2021, the Predecessor Company recognized impairments of real estate of $120,342 related to five malls, a redeveloped anchor parcel, an associated center and one outparcel.

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

July

The Landing at Arbor Place - Outparcel (4)

Douglasville, GA

All Other

1,682

590

September

Laurel Park Place (5)

Livonia, MI

Malls

14,267

9,800

September

Parkdale Mall and Crossing (6)

Beaumont, TX

Malls/All Other

47,211

50,500

120,342

99,390

(1)

In accordance with the Company's quarterly impairment process, the Predecessor 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 Predecessor 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 Predecessor 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%.

(4)

In July 2021, the Predecessor Company sold an outparcel at The Landing at Arbor Place. Sales proceeds amounted to $590, which resulted in a loss on sale.

(5)

In accordance with the Company's quarterly impairment process, the Predecessor Company wrote down the book value of the mall to its estimated fair value of $9,800. The mall had experienced a decline in cash flows due to store closures and rent reductions. Management determined the fair value of Laurel Park Place 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 11.5% and a discount rate of 13.0%.

(6)

In accordance with the Company's quarterly impairment process, the Predecessor Company wrote down the book value of the mall, a redeveloped anchor parcel and an associated center adjacent to the mall to their estimated fair value of $50,500. 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 the mall and associated center (excluding the redeveloped anchor parcel) based on Management's assessment that there was an increased likelihood that the loan secured by the mall and associated center may not be successfully restructured or refinanced. Management determined the fair value of Parkdale Mall, Parkdale Crossing and Parkdale Anchor 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 weighted-average capitalization rate of 12.3% and a discount rate of 14.2%.