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Fair Value Measurements (Tables)

6 Months Ended

Jun. 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 following table sets forth information regarding the Company’s AFS securities that were measured at fair value for the six months ended June 30, 2022

AFS Security

Amortized

Cost ⁽¹⁾

Allowance

for credit

losses ⁽²⁾

Total unrealized gain

Fair value as of June 30, 2022

U.S. Treasury securities

150,057

—

150,063

(1)	The U.S. Treasury securities have maturities through November 2022.

(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 six months ended June 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

—

)

149,996

(1)

Schedule of Assets Measured at Fair Value on Nonrecurring Basis

During the six months ended June 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 7 for additional information.

During the three and six months ended June 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 six months ended June 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	$	38,500	$	—	$	—	$	38,500	$	57,182

Schedule of Impairment on Real Estate Properties

During the six months ended June 30, 2021, the Predecessor 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 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%.