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Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2023

Summary of Range of Effective Yields and Weighted Average Effective Yields of Partnership's Investments

The range of effective yields and weighted average effective yields of the Partnership’s investments in MRBs, taxable MRBs and bond purchase commitments as of December 31, 2023 and 2022 are as follows:


	Range of Effective Yields		Weighted Average Effective Yields (1)
Security Type	December 31, 2023	December 31, 2022	December 31, 2023			December 31, 2022
Mortgage revenue bonds (2)	2.3% - 7.7%	2.6% - 20.3%		4.8	%		5.1	%
Taxable mortgage revenue bonds	6.5% - 11.9%	6.5% - 11.4%		8.8	%		7.6	%
Bond purchase commitments	4.1%	4.5%		4.1	%		4.5	%

(1)

Weighted by the total principal outstanding of all the respective securities as of the reporting date.

(2)

Mortgage revenue bonds excludes the Provision Center 2014-1 MRB for figures as of December 31, 2023 as the proton therapy center securing the MRB was successfully sold out of bankruptcy in July 2022 and the Partnership received liquidation proceeds of $3.7 million in January 2023. The MRB valuation as of December 31, 2023 is based on expected additional liquidation proceeds of approximately $928,000 at final liquidation.

Summary of Assets Measured at Fair Value on Recurring Basis

Assets measured at fair value on a recurring basis as of December 31, 2023 are summarized as follows:


	Fair Value Measurements as of December 31, 2023
Description	Assets and Liabilities at Fair Value			Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Assets and Liabilities
Mortgage revenue bonds, held in trust	$	883,030,786		$	-	$	-		$	883,030,786
Mortgage revenue bonds		47,644,509			-		-			47,644,509
Bond purchase commitments (reported within other assets)		197,788			-		-			197,788
Taxable mortgage revenue bonds (reported within other assets)		21,460,288			-		-			21,460,288
Derivative instruments (reported within other assets)		5,254,663			-		5,254,398			265
Derivative swap liability (reported within other liabilities)		(705,694	)		-		(705,694	)		-
Total Assets and Liabilities at Fair Value, net	$	956,882,340		$	-	$	4,548,704		$	952,333,636

Assets measured at fair value on a recurring basis as of December 31, 2022 are summarized as follows:


	Fair Value Measurements as of December 31, 2022
Description	Assets at Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Mortgage revenue bonds, held in trust	$	763,208,945	$	-	$	-	$	763,208,945
Mortgage revenue bonds		36,199,059		-		-		36,199,059
Bond purchase commitments (reported within other assets)		98,929		-		-		98,929
Taxable mortgage revenue bonds (reported within other assets)		16,531,896		-		-		16,531,896
Derivative instruments (reported within other assets)		7,530,438		-		7,199,198		331,240
Total Assets at Fair Value, net	$	823,569,267	$	-	$	7,199,198	$	816,370,069

Summary of Activity Related to Level 3 Assets and Liabilities

The following table summarizes the activity related to Level 3 assets and liabilities for the year ended December 31, 2023:


	For the Year ended December 31, 2023
	Fair Value Measurements Using Significant
	Unobservable Inputs (Level 3)
	Mortgage Revenue Bonds (1)			Bond Purchase Commitments		Taxable Mortgage Revenue Bonds			Derivative Instruments			Total
Beginning Balance January 1, 2023	$	799,408,004		$	98,929	$	16,531,896		$	331,240		$	816,370,069
Total gains (losses) (realized/unrealized)
Included in earnings (interest income and interest expense)		305,081			-		(24,198	)		4,410,346			4,691,229
Included in other comprehensive income		17,113,511			98,859		(1,355,710	)		-			15,856,660
Purchases and advances		141,135,222			-		13,319,875			-			154,455,097
Settlements and redemptions		(27,286,523	)		-		(7,011,575	)		(4,741,321	)		(39,039,419	)
Ending Balance December 31, 2023	$	930,675,295		$	197,788	$	21,460,288		$	265		$	952,333,636
Total amount of gains (losses) for the period included in earnings attributable to the change in unrealized losses relating to assets or liabilities held on December 31, 2023	$	68,812		$	-	$	-		$	(91,421	)	$	(22,609	)

(1)

Mortgage revenue bonds include both bonds held in trust as well as those held by the Partnership.

The following table summarizes the activity related to Level 3 assets and liabilities for the year ended December 31, 2022:


	For the Year Ended December 31, 2022
	Fair Value Measurements Using Significant
	Unobservable Inputs (Level 3)
	Mortgage Revenue Bonds (1)			Bond Purchase Commitments			Taxable Mortgage Revenue Bonds			Derivative Instruments			Total
Beginning Balance January 1, 2022	$	793,509,844		$	964,404		$	3,428,443		$	343,418		$	798,246,109
Total gains (losses) (realized/unrealized)
Included in earnings (interest income and interest expense)		1,958,135			-			(20,028	)		5,756,111			7,694,218
Included in other comprehensive income		(68,890,753	)		(865,475	)		(535,793	)		-			(70,292,021	)
Purchases and advances		182,726,187			-			13,669,857			-			196,396,044
Settlements and redemptions		(109,034,876	)		-			(10,583	)		(5,768,289	)		(114,813,748	)
Other (2)		(860,533	)		-			-			-			(860,533	)
Ending Balance December 31, 2022	$	799,408,004		$	98,929		$	16,531,896		$	331,240		$	816,370,069
Total amount of gains for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets or liabilities held on December 31, 2022	$	57,124		$	-		$	-		$	40,538		$	97,662

(1)

Mortgage revenue bonds include both bonds held in trust as well as those held by the Partnership.

(2)

The other line is related to a re-allocation of the loan loss allowance upon restructuring of the Live 929 Apartments MRBs and property loan (Notes 6 and 8).

Summary of Fair Value of Partnership's Financial Liabilities

The table below summarizes the fair value of the Partnership’s financial liabilities as of December 31, 2023 and 2022:


	December 31, 2023				December 31, 2022
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Financial Liabilities:
Debt financing	$	1,015,030,066	$	1,019,218,351	$	1,058,903,952	$	1,059,674,409
Secured lines of credit		33,400,000		33,400,000		55,500,000		55,500,000
Mortgages payable		1,690,000		1,690,000		1,690,000		1,690,000