From photos that appeared late last night (June 2), they were filming in Brooklyn down around the Brooklyn Academy of Music and the Williamsburgh Savings Bank Tower. While the exterior of the building was lit up, filming was done inside.
Many thanks to jasondtns for sharing a photo on instagram.
Many thanks to dannydarko for sharing a photo on instagram.
Many thanks to Robert Grimm for confirming Keanu was on site as well as sharing photos of the location site on FB here, here and here.
Many thanks to surfingvfx for sharing two photos from the shoot on instagram here and here.
Also, many thanks to Juan Jose Rego for sharing two clips from the May 23 shoot on FB here and here.