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Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2020
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation  
Fair value, schedule of assets and liabilities measures on recurring basis The tables below aggregate the fair values of these financial assets and liabilities by their levels in the fair value hierarchy.
(Amounts in thousands)
As of June 30, 2020
 
Total
 
Level 1
 
Level 2
 
Level 3
Real estate fund investments
$
17,453

 
$

 
$

 
$
17,453

Deferred compensation plan assets ($12,444 included in restricted cash and $81,637 in other assets)
94,081

 
57,909

 

 
36,172

Loans receivable ($41,340 included in investments in partially owned entities and $5,335 in other assets)
46,675

 

 

 
46,675

Interest rate swaps (included in other assets)
67

 

 
67

 

Total assets
$
158,276

 
$
57,909

 
$
67

 
$
100,300

 
 
 
 
 
 
 
 
Mandatorily redeemable instruments (included in other liabilities)
$
50,058

 
$
50,058

 
$

 
$

Interest rate swaps (included in other liabilities)
81,502

 

 
81,502

 

Total liabilities
$
131,560

 
$
50,058

 
$
81,502

 
$

 
 
 
 
 
 
 
 
(Amounts in thousands)
As of December 31, 2019
 
Total
 
Level 1
 
Level 2
 
Level 3
Marketable securities
$
33,313

 
$
33,313

 
$

 
$

Real estate fund investments
222,649

 

 

 
222,649

Deferred compensation plan assets ($11,819 included in restricted cash and $91,954 in other assets)
103,773

 
71,338

 

 
32,435

Interest rate swaps (included in other assets)
4,327

 

 
4,327

 

Total assets
$
364,062

 
$
104,651

 
$
4,327

 
$
255,084

 
 
 
 
 
 
 
 
Mandatorily redeemable instruments (included in other liabilities)
$
50,561

 
$
50,561

 
$

 
$

Interest rate swaps (included in other liabilities)
40,354

 

 
40,354

 

Total liabilities
$
90,915

 
$
50,561

 
$
40,354

 
$




Schedule of carrying amounts and fair values of financial instruments The table below summarizes the carrying amounts and fair value of these financial instruments.
(Amounts in thousands)
As of June 30, 2020
 
As of December 31, 2019
 
 
Carrying
Amount
 
Fair
Value
 
Carrying
Amount
 
Fair
Value
Cash equivalents
$
1,494,756

 
$
1,495,000

 
$
1,276,815

 
$
1,277,000

Debt:
 
 
 
 
 
 
 
 
Mortgages payable
$
5,662,657

 
$
5,656,000

 
$
5,670,016

 
$
5,714,000

 
Senior unsecured notes
450,000

 
450,000

 
450,000

 
468,000

 
Unsecured term loan
800,000

 
800,000

 
750,000

 
750,000

 
Unsecured revolving credit facilities
1,075,000

 
1,075,000

 
575,000

 
575,000

 
Total
$
7,987,657

(1) 
$
7,981,000

 
$
7,445,016

(1) 
$
7,507,000


____________________
(1)
Excludes $31,790 and $38,407 of deferred financing costs, net and other as of June 30, 2020 and December 31, 2019, respectively.
Schedule of derivative assets at fair value
The following tables summarize our consolidated derivative instruments, all of which hedge variable rate debt, as of June 30, 2020 and December 31, 2019.
(Amounts in thousands)
 
As of June 30, 2020
 
 
 
 
 
 
Variable Rate
 
 
 
 
Hedged Item (Interest rate swaps)
 
Fair Value
 
Notional Amount
 
Spread over LIBOR
 
Interest Rate
 
Swapped Rate
 
Expiration Date
Included in other assets:
 
 
 
 
 
 
 
 
 
 
 
 
Other
 
$
67

 
$
175,000

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Included in other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Unsecured term loan
 
$
68,709

 
$
750,000

(1) 
L+100
 
1.18%
 
3.87%
 
10/23
33-00 Northern Boulevard mortgage loan
 
9,592

 
100,000

 
L+180
 
1.99%
 
4.14%
 
1/25
888 Seventh Avenue mortgage loan
 
2,355

 
375,000

 
L+170
 
1.88%
 
3.25%
 
12/20
770 Broadway mortgage loan
 
846

 
700,000

 
L+175
 
1.93%
 
2.56%
 
9/20
 
 
$
81,502

 
$
1,925,000

 
 
 
 
 
 
 
 
____________________
(1)
Remaining $50,000 balance of our unsecured term loan bears interest at a floating rate of LIBOR plus 1.00%.

15.    Fair Value Measurements - continued
Financial Assets and Liabilities Measured at Fair Value on a Recurring Basis - continued
Derivatives and Hedging - continued
(Amounts in thousands)
 
As of December 31, 2019
 
 
 
 
 
 
Variable Rate
 
 
 
 
Hedged Item (Interest rate swaps)
 
Fair Value
 
Notional Amount
 
Spread over LIBOR
 
Interest Rate
 
Swapped Rate
 
Expiration Date
Included in other assets:
 
 
 
 
 
 
 
 
 
 
 
 
770 Broadway mortgage loan
 
$
4,045

 
$
700,000

 
L+175
 
3.46%
 
2.56%
 
9/20
888 Seventh Avenue mortgage loan
 
218

 
375,000

 
L+170
 
3.44%
 
3.25%
 
12/20
Other
 
64

 
175,000

 
 
 
 
 
 
 
 
 
 
$
4,327

 
$
1,250,000

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Included in other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Unsecured term loan
 
$
36,809

 
$
750,000

 
L+100
 
2.80%
 
3.87%
 
10/23
33-00 Northern Boulevard mortgage loan
 
3,545

 
100,000

 
L+180
 
3.52%
 
4.14%
 
1/25
 
 
$
40,354

 
$
850,000

 
 
 
 
 
 
 
 

Schedule of derivative liabilities at fair value
The following tables summarize our consolidated derivative instruments, all of which hedge variable rate debt, as of June 30, 2020 and December 31, 2019.
(Amounts in thousands)
 
As of June 30, 2020
 
 
 
 
 
 
Variable Rate
 
 
 
 
Hedged Item (Interest rate swaps)
 
Fair Value
 
Notional Amount
 
Spread over LIBOR
 
Interest Rate
 
Swapped Rate
 
Expiration Date
Included in other assets:
 
 
 
 
 
 
 
 
 
 
 
 
Other
 
$
67

 
$
175,000

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Included in other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Unsecured term loan
 
$
68,709

 
$
750,000

(1) 
L+100
 
1.18%
 
3.87%
 
10/23
33-00 Northern Boulevard mortgage loan
 
9,592

 
100,000

 
L+180
 
1.99%
 
4.14%
 
1/25
888 Seventh Avenue mortgage loan
 
2,355

 
375,000

 
L+170
 
1.88%
 
3.25%
 
12/20
770 Broadway mortgage loan
 
846

 
700,000

 
L+175
 
1.93%
 
2.56%
 
9/20
 
 
$
81,502

 
$
1,925,000

 
 
 
 
 
 
 
 
____________________
(1)
Remaining $50,000 balance of our unsecured term loan bears interest at a floating rate of LIBOR plus 1.00%.

15.    Fair Value Measurements - continued
Financial Assets and Liabilities Measured at Fair Value on a Recurring Basis - continued
Derivatives and Hedging - continued
(Amounts in thousands)
 
As of December 31, 2019
 
 
 
 
 
 
Variable Rate
 
 
 
 
Hedged Item (Interest rate swaps)
 
Fair Value
 
Notional Amount
 
Spread over LIBOR
 
Interest Rate
 
Swapped Rate
 
Expiration Date
Included in other assets:
 
 
 
 
 
 
 
 
 
 
 
 
770 Broadway mortgage loan
 
$
4,045

 
$
700,000

 
L+175
 
3.46%
 
2.56%
 
9/20
888 Seventh Avenue mortgage loan
 
218

 
375,000

 
L+170
 
3.44%
 
3.25%
 
12/20
Other
 
64

 
175,000

 
 
 
 
 
 
 
 
 
 
$
4,327

 
$
1,250,000

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Included in other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Unsecured term loan
 
$
36,809

 
$
750,000

 
L+100
 
2.80%
 
3.87%
 
10/23
33-00 Northern Boulevard mortgage loan
 
3,545

 
100,000

 
L+180
 
3.52%
 
4.14%
 
1/25
 
 
$
40,354

 
$
850,000

 
 
 
 
 
 
 
 

Fair value measurements, nonrecurring
(Amounts in thousands)
As of June 30, 2020
 
Total
 
Level 1
 
Level 2
 
Level 3
Investment in Fifth Avenue and Times Square JV
$
2,955,957

 
$

 
$

 
$
2,955,957


Real estate fund investments  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation  
Fair value inputs quantitative information Significant unobservable quantitative inputs in the table below were utilized in determining the fair value of these real estate fund investments.
 
Range
 
Weighted Average
(based on fair value of investments)
Unobservable Quantitative Input
June 30, 2020
 
December 31, 2019
 
June 30, 2020
 
December 31, 2019
Discount rates
6.8% to 15.0%
 
8.2% to 12.0%
 
13.4%
 
9.3%
Terminal capitalization rates
5.5% to 9.3%
 
4.6% to 8.2%
 
7.3%
 
5.3%

Summary of changes in level 3 plan assets
The table below summarizes the changes in the fair value of real estate fund investments that are classified as Level 3.
(Amounts in thousands)
For the Three Months Ended June 30,
 
For the Six Months Ended June 30,
 
2020
 
2019
 
2020
 
2019
Beginning balance
$
45,129

 
$
322,858

 
$
222,649

 
$
318,758

Purchases/additional fundings

 

 
6,000

 
4,000

Net unrealized loss on held investments
(27,676
)
 
(16,262
)
 
(211,196
)
 
(16,162
)
Ending balance
$
17,453

 
$
306,596

 
$
17,453

 
$
306,596


Deferred Compensation Plan Assets  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation  
Schedule of changes in fair value of plan assets
The table below summarizes the changes in the fair value of deferred compensation plan assets that are classified as Level 3.
(Amounts in thousands)
For the Three Months Ended June 30,
 
For the Six Months Ended June 30,
 
2020
 
2019
 
2020
 
2019
Beginning balance
$
30,568

 
$
37,562

 
$
32,435

 
$
37,808

Purchases
5,656

 
1,969

 
6,949

 
2,877

Sales
(357
)
 
(18,041
)
 
(2,832
)
 
(20,155
)
Realized and unrealized gains (losses)
38

 
215

 
(1,191
)
 
738

Other, net
267

 
286

 
811

 
723

Ending balance
$
36,172

 
$
21,991

 
$
36,172

 
$
21,991


Loans Receivable  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation  
Fair value inputs quantitative information Significant unobservable quantitative inputs in the table below were utilized in determining the fair value of these loans receivable.
 
June 30, 2020
 
Range
 
Weighted Average
(based on fair value of investments)
Unobservable Quantitative Input
 
 
 
Discount rates
6.0% to 6.5%
 
6.1%
Terminal capitalization rates
5.0%
 
5.0%

Summary of changes in level 3 plan assets
The table below summarizes the changes in fair value of loans receivable that are classified as Level 3.
(Amounts in thousands)
For the Three Months Ended June 30, 2020
 
For the Six Months Ended June 30, 2020
Beginning balance
$
51,990

 
$
59,251

Credit losses
(6,108
)
 
(13,369
)
Interest accrual
793

 
793

Ending balance
$
46,675

 
$
46,675