Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2018

Assets and liabilities measured at fair value on a recurring basis at March 31, 2018 are summarized as follows:

	Fair Value Measurements at March 31, 2018
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	$	681,201,158		$	-	$	-	$	681,201,158
Mortgage revenue bonds		74,758,296			-		-		74,758,296
Bond purchase commitments (reported within other assets)		2,027,473			-		-		2,027,473
PHC Certificates		48,939,254			-		-		48,939,254
Taxable mortgage revenue bonds (reported within other assets)		2,397,825			-		-		2,397,825
Derivative contracts (reported within other assets)		1,194,442			-		-		1,194,442
Derivative swap liability		(341,740	)		-		-		(341,740	)
Total Assets and Liabilities at Fair Value, net	$	810,176,708		$	-	$	-	$	810,176,708

Assets and liabilities measured at fair value on a recurring basis at December 31, 2017 are summarized as follows:

	Fair Value Measurements at December 31, 2017
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	$	710,867,447		$	-	$	-	$	710,867,447
Mortgage revenue bonds		77,971,208			-		-		77,971,208
Bond purchase commitments (reported within other assets)		3,002,540			-		-		3,002,540
PHC Certificates		49,641,588			-		-		49,641,588
Taxable mortgage revenue bonds (reported within other assets)		2,422,459			-		-		2,422,459
Derivative contracts (reported within other assets)		597,221			-		-		597,221
Derivative swap liability		(826,852	)		-		-		(826,852	)
Total Assets and Liabilities at Fair Value, net	$	843,675,611		$	-	$	-	$	843,675,611

The following tables summarizes the activity related to Level 3 assets and liabilities for the three months ended March 31, 2018:

	For the Three Months Ended March 31, 2018
	Fair Value Measurements Using Significant
	Unobservable Inputs (Level 3)
	Mortgage Revenue Bonds ⁽¹⁾			Bond Purchase Commitments			PHC Certificates			Taxable Bonds			Interest Rate Derivatives ⁽²⁾			Total
Beginning Balance January 1, 2018	$	788,621,707		$	3,002,540		$	49,641,588		$	2,422,459		$	(229,631	)	$	843,458,663
Total gains (losses) (realized/unrealized)
Included in earnings (interest income and interest expense)		36,314			-			(19,274	)		-			989,995			1,007,035
Included in other comprehensive (loss) income		(21,396,628	)		(975,067	)		(456,346	)		(21,902	)		-			(22,849,943	)
Purchases		-			-			-			-			-			-
Settlements		(11,301,939	)		-			(226,714	)		(2,732	)		92,338			(11,439,047	)
Ending Balance March 31, 2018	$	755,959,454		$	2,027,473		$	48,939,254		$	2,397,825		$	852,702		$	810,176,708
Total amount of losses for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets or liabilities held on March 31, 2018	$	-		$	-		$	-		$	-		$	989,995		$	989,995

⁽¹⁾	Mortgage revenue bonds includes both bonds held in trust as well as those held by the Partnership. The beginning balance also in includes the cumulative effect of accounting change related to the adoption of ASU 2017-08 effective January 1, 2018.

⁽²⁾	Interest rate derivatives include derivative contracts reported in other assets as well as derivative swap liabilities.

The following tables summarizes the activity related to Level 3 assets and liabilities for the three months ended March 31, 2017:

	For the Three Months Ended March 31, 2017
	Fair Value Measurements Using Significant
	Unobservable Inputs (Level 3)
	Mortgage Revenue Bonds ⁽¹⁾			Bond Purchase Commitments		PHC Certificates			Taxable Bonds			Interest Rate Derivatives ⁽²⁾			Total
Beginning Balance January 1, 2017	$	680,211,051		$	2,399,449	$	57,158,068		$	4,084,599		$	(955,679	)	$	742,897,488
Total gains (losses) (realized/unrealized)
Included in earnings (interest income and interest expense)		53,355			-		(17,588	)		-			(121,349	)		(85,582	)
Included in other comprehensive (loss) income		20,170,553			220,944		(1,288,681	)		98,494			-			19,201,310
Purchases		59,585,000			-		-			-			-			59,585,000
Settlements		(1,114,063	)		-		-			(3,888	)		-			(1,117,951	)
Ending Balance March 31, 2017	$	758,905,896		$	2,620,393	$	55,851,799		$	4,179,205		$	(1,077,028	)	$	820,480,265
Total amount of losses for the period included in earnings attributable to the change in unrealized gains or losses relating to assets or liabilities held on March 31, 2017	$	-		$	-	$	-		$	-		$	(121,349	)	$	(121,349	)

⁽¹⁾	Mortgage revenue bonds includes both bonds held in trust as well as those held by the Partnership.

⁽²⁾	Interest rate derivatives include derivative contracts reported in other assets as well as derivative swap liabilities.

The table below summarizes the fair value of the financial liabilities at March 31, 2018 and December 31, 2017:

	March 31, 2018				December 31, 2017
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Financial Liabilities:
Debt financing and LOCs	$	600,425,793	$	605,077,761	$	608,328,347	$	618,412,150
Mortgages payable and other secured financing		35,453,563		35,654,615		35,540,174		35,767,924