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FAIR VALUE MEASUREMENTS
 12 Months Ended
Dec. 31, 2024
FAIR VALUE MEASUREMENTS  
FAIR VALUE MEASUREMENTS

NOTE 9 — FAIR VALUE MEASUREMENTS

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The carrying amounts of cash and cash equivalents, escrow, deposits and other assets and receivables (excluding interest rate swaps), dividends payable, and accrued expenses and other liabilities, are not measured at fair value on a recurring basis but are considered to be recorded at amounts that approximate fair value.

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The fair value and carrying amounts of the Company’s mortgages payable are as follows (dollars in thousands):

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December 31, 

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2024

    

​

2023

    

Fair value of mortgages payable (a)

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$

398,934

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$

397,031

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Carrying value of mortgages payable, gross

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$

424,978

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$

422,565

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Fair value less than the carrying value

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$

(26,044)

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$

(25,534)

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Blended market interest rate (a)

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6.28

%

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5.93

%

Weighted average interest rate

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4.56

%

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4.31

%

Weighted average remaining term to maturity (years)

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​

6.1

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5.9

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(a)Estimated using unobservable inputs such as available market information and discounted cash flow analysis based on borrowing rates the Company believes it could obtain with similar terms and maturities. These fair value measurements fall within Level 3 of the fair value hierarchy.

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Considerable judgment is necessary to interpret market data and develop the estimated fair value. The use of different market assumptions and/or estimation methodologies may have a material effect on the estimated fair value amounts.

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Fair Value on a Recurring Basis

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As of December 31, 2024, the Company had in effect eight interest rate derivatives, all of which were interest rate swaps, related to eight outstanding mortgage loans with an aggregate $13,923,000 notional amount maturing between 2025 and 2026 (weighted average remaining term to maturity of approximately one year). These interest rate swaps, all of which were designated as cash flow hedges, converted SOFR based variable rate mortgages to fixed annual rate mortgages. The interest rates range from 3.24% to 4.34% with a weighted average interest rate of 4.04% at December 31, 2024.

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Fair values are approximated using widely accepted valuation techniques including discounted cash flow analysis on the expected cash flows of the derivatives. This analysis reflects the contractual terms of the derivatives, including the period to maturity, and uses observable market-based inputs, including interest rate curves and implied volatilities. Although the Company has determined the majority of the inputs used to value its derivatives fall within Level 2 of the fair value hierarchy, the associated credit valuation adjustments use Level 3 inputs, such as estimates of current credit spreads, to evaluate the likelihood of default by the Company and its counterparty. As of December 31, 2024, the Company has assessed and determined the impact of the credit valuation adjustments on the overall valuation of its derivative positions is not significant. As a result, the Company determined its derivative valuation is classified in Level 2 of the fair value hierarchy. The Company does not currently own any financial instruments that are measured on a recurring basis and that are classified as Level 1 or 3.

NOTE 9 — FAIR VALUE MEASUREMENTS (CONTINUED)

The fair value of the Company’s derivative financial instruments was determined to be the following (amounts in thousands):

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As of

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Carrying and

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December 31, 

    

Fair Value

Financial assets: Interest rate swaps

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2024

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$

208

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2023

​

 

824

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The fair value of the Company’s derivatives is reflected in Escrow, deposits and other assets and receivables on the consolidated balance sheets. As of December 31, 2024 and 2023, there were no derivatives in a liability position.

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The following table presents the effect of the Company’s derivative financial instruments on the consolidated statements of income for the years presented (amounts in thousands):

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Year Ended December 31, 

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2024

    

2023

    

2022

Amount of gain recognized on derivatives in other comprehensive income

$

200

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$

328

​

$

3,028

Amount of reclassification from Accumulated other comprehensive income into Interest expense

 

836

​

 

1,295

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(297)

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During the twelve months ending December 31, 2025, the Company estimates an additional $183,000 will be reclassified from Accumulated other comprehensive income as a decrease to Interest expense.

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The derivative agreements in effect at December 31, 2024 provide that if the wholly owned subsidiary of the Company which is a party to such agreement defaults or is capable of being declared in default on any of its indebtedness, then a default can be declared on such subsidiary’s derivative obligation. In addition, the Company is a party to the derivative agreements and if there is a default by the subsidiary on the loan subject to the derivative agreement to which the Company is a party and if there are swap breakage losses on account of the derivative being terminated early, the Company could be held liable for such swap breakage losses.