Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2021

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 September 30, 2021 and December 31, 2020 are as follows:

	Range of Effective Yields		Weighted Average Effective Yields⁽¹⁾
Security Type	September 30, 2021	December 31, 2020	September 30, 2021			December 31, 2020
Mortgage revenue bonds	0.9% - 16.6%	1.4% - 13.3%		3.1	%		3.0	%
Taxable mortgage revenue bonds	4.9% - 8.0%	7.1% - 7.4%		6.7	%		7.3	%
Bond purchase commitments	3.5% - 4.9%	3.5%		4.2	%		3.5	%

⁽¹⁾	Weighted by the total principal outstanding of all the respective securities as of the reporting date.

Summary of Assets Measured at Fair Value on Recurring Basis

Assets measured at fair value on a recurring basis as of September 30, 2021 are summarized as follows:

	Fair Value Measurements as of September 30, 2021
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	$	727,826,133	$	-	$	-	$	727,826,133
Mortgage revenue bonds		15,812,184		-		-		15,812,184
Bond purchase commitments (reported within other assets)		401,223		-		-		401,223
Taxable mortgage revenue bonds (reported within other assets)		2,435,954		-		-		2,435,954
Derivative financial instruments (reported within other assets)		311,801		-		-		311,801
Total Assets at Fair Value, net	$	746,787,295	$	-	$	-	$	746,787,295

Assets measured at fair value on a recurring basis as of December 31, 2020 are summarized as follows:

	Fair Value Measurements as of December 31, 2020
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	$	768,468,644	$	-	$	-	$	768,468,644
Mortgage revenue bonds		25,963,841		-		-		25,963,841
Bond purchase commitments (reported within other assets)		431,879						431,879
Taxable mortgage revenue bonds (reported within other assets)		1,510,437		-		-		1,510,437
Derivative instruments (reported within other assets)		321,503		-		-		321,503
Total Assets at Fair Value, net	$	796,696,304	$	-	$	-	$	796,696,304

Summary of Activity Related to Level 3 Assets and Liabilities

The following tables summarize the activity related to Level 3 assets for the three and nine months ended September 30, 2021:

	For the Three Months Ended September 30, 2021
	Fair Value Measurements Using Significant
	Unobservable Inputs (Level 3)
	Mortgage Revenue Bonds⁽¹⁾			Bond Purchase Commitments		Taxable Mortgage Revenue Bonds			Derivative Financial Instruments			Total
Beginning Balance July 1, 2021	$	777,990,096		$	392,515	$	1,462,862		$	321,372		$	780,166,845
Total gains (losses) (realized/unrealized)
Included in earnings (interest income and interest expense)		34,331			-		-			1,751,136			1,785,467
Included in other comprehensive income		(4,561,683	)		8,708		(24,463	)		-			(4,577,438	)
Purchases		3,995,000			-		1,000,000			-			4,995,000
Settlements		(33,819,427	)		-		(2,445	)		(1,760,707	)		(35,582,579	)
Ending Balance September 30, 2021	$	743,638,317		$	401,223	$	2,435,954		$	311,801		$	746,787,295
Total amount of losses for the period included in earnings attributable to the change in unrealized losses relating to assets or liabilities held on September 30, 2021	$	-		$	-	$	-		$	(9,261	)	$	(9,261	)

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

	For the Nine Months Ended September 30, 2021
	Fair Value Measurements Using Significant
	Unobservable Inputs (Level 3)
	Mortgage Revenue Bonds⁽¹⁾			Bond Purchase Commitments			Taxable Mortgage Revenue Bonds			Derivative Financial Instruments			Total
Beginning Balance January 1, 2021	$	794,432,485		$	431,879		$	1,510,437		$	321,503		$	796,696,304
Total gains (losses) (realized/unrealized)
Included in earnings (interest income and interest expense)		103,292			-			-			5,326,329			5,429,621
Included in earnings (provision for credit loss)		(900,080	)		-			-			-			(900,080	)
Included in other comprehensive income		(18,884,461	)		(30,656	)		(67,309	)		-			(18,982,426	)
Purchases		12,946,500			-			1,000,000			-			13,946,500
Settlements		(44,059,419	)		-			(7,174	)		(5,336,031	)		(49,402,624	)
Ending Balance September 30, 2021	$	743,638,317		$	401,223		$	2,435,954		$	311,801		$	746,787,295
Total amount of losses for the period included in earnings attributable to the change in unrealized losses relating to assets or liabilities held on September 30, 2021	$	(900,080	)	$	-		$	-		$	(11,304	)	$	(911,384	)

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

The following tables summarize the activity related to Level 3 assets and liabilities for the three and nine months ended September 30, 2020:

	For the Three Months Ended September 30, 2020
	Fair Value Measurements Using Significant
	Unobservable Inputs (Level 3)
	Mortgage Revenue Bonds ⁽¹⁾			Bond Purchase Commitments		PHC Certificates		Taxable Mortgage Revenue Bonds			Interest Rate Derivatives			Total
Beginning Balance July 1, 2020	$	787,624,971		$	-	$	-	$	1,456,279		$	29,826		$	789,111,076
Total gains (losses) (realized/unrealized)
Included in earnings (interest income and interest expense)		34,954			-		-		-			125,631			160,585
Included in earnings (impairment of securities and provision for credit loss)		(3,463,253	)		-		-		-			-			(3,463,253	)
Included in other comprehensive income		18,248,391			256,222		-		32,840			-			18,537,453
Purchases		2,023,500			-		-		-			-			2,023,500
Settlements		(7,931,962	)		-		-		(2,236	)		-			(7,934,198	)
Ending Balance September 30, 2020	$	796,536,601		$	256,222	$	-	$	1,486,883		$	155,457		$	798,435,163
Total amount of losses for the period included in earnings attributable to the change in unrealized losses relating to assets or liabilities held on September 30, 2020	$	(3,463,253	)	$	-	$	-	$	-		$	(14,569	)	$	(3,477,822	)

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

	For the Nine Months Ended September 30, 2020
	Fair Value Measurements Using Significant
	Unobservable Inputs (Level 3)
	Mortgage Revenue Bonds ⁽¹⁾			Bond Purchase Commitments		PHC Certificates			Taxable Mortgage Revenue Bonds			Interest Rate Derivatives			Total
Beginning Balance January 1, 2020	$	773,597,465		$	-	$	43,349,357		$	1,383,237		$	10,911		$	818,340,970
Total gains (losses) (realized/unrealized)
Included in earnings (interest income and interest expense)		90,194			-		(7,219	)		-			244,479			327,454
Included in earnings (impairment of securities and provision for credit loss)		(5,285,609	)		-		-			-			-			(5,285,609	)
Included in earnings (gain on sale of securities)		-			-		1,416,023			-			-			1,416,023
Included in other comprehensive income		32,457,107			256,222		(1,408,804	)		110,206			-			31,414,731
Purchases		9,513,450			-		-			-			-			9,513,450
Sale of securities		-			-		(43,349,357	)		-			-			(43,349,357	)
Settlements		(13,836,006	)		-		-			(6,560	)		(99,933	)		(13,942,499	)
Ending Balance September 30, 2020	$	796,536,601		$	256,222	$	-		$	1,486,883		$	155,457		$	798,435,163
Total amount of gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets or liabilities held on September 30, 2020	$	(5,285,609	)	$	-	$	-		$	-		$	104,279		$	(5,181,330	)

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

Summary of Fair Value of Partnership's Financial Liabilities

The table below summarizes the fair value of the Partnership’s financial liabilities as of September 30, 2021 and December 31, 2020:

	September 30, 2021				December 31, 2020
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Financial Liabilities:
Debt financing	$	760,632,414		794,828,424	$	673,957,640	$	709,760,933
Unsecured lines of credit		-		-		7,475,000		7,475,000
Secured lines of credit		6,500,000		6,500,000		-		-
Mortgages payable and other secured financing		25,429,450		25,430,834		25,984,872		25,986,514