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Fair Value of Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2023
Fair Value Measurements [Abstract]  
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, 2023 and December 31, 2022 are as follows:

 

 

 

Range of Effective Yields

 

Weighted Average Effective Yields (1)

 

Security Type

 

September 30, 2023

 

December 31, 2022

 

September 30, 2023

 

 

December 31, 2022

 

Mortgage revenue bonds (2)

 

3.4% - 8.8%

 

2.6% - 20.3%

 

 

5.8

%

 

 

5.1

%

Taxable mortgage revenue bonds

 

7.3% - 12.7%

 

6.5% - 11.4%

 

 

9.4

%

 

 

7.6

%

Bond purchase commitments

 

5.3%

 

4.5%

 

 

5.3

%

 

 

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 September 30, 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 valuation as of September 30, 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 September 30, 2023 are summarized as follows:

 

 

Fair Value Measurements as of September 30, 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

 

$

842,828,122

 

 

$

-

 

 

$

-

 

 

$

842,828,122

 

Mortgage revenue bonds

 

 

16,217,828

 

 

 

-

 

 

 

-

 

 

 

16,217,828

 

Taxable mortgage revenue bonds (reported within other assets)

 

 

17,611,663

 

 

 

-

 

 

 

-

 

 

 

17,611,663

 

Derivative instruments (reported within other assets)

 

 

14,348,619

 

 

 

-

 

 

 

14,123,606

 

 

 

225,013

 

Derivative swap liability (reported within other liabilities)

 

 

(12,927

)

 

 

-

 

 

 

(12,927

)

 

 

-

 

Bond purchase commitments (reported within other liabilities)

 

 

(112,448

)

 

 

-

 

 

 

-

 

 

 

(112,448

)

Total Assets and Liabilities at Fair Value, net

 

$

890,880,857

 

 

$

-

 

 

$

14,110,679

 

 

$

876,770,178

 

 

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 tables summarize the activity related to Level 3 assets for the three and nine months ended September 30, 2023:

 

 

For the Three Months Ended September 30, 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 July 1, 2023

 

$

905,963,979

 

 

$

138,100

 

 

$

22,297,418

 

 

$

301,624

 

 

$

928,701,121

 

Total gains (losses) (realized/unrealized)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in earnings (interest income and
   interest expense)

 

 

76,047

 

 

 

-

 

 

 

(6,050

)

 

 

1,215,389

 

 

 

1,285,386

 

Included in other comprehensive income

 

 

(46,097,421

)

 

 

(250,548

)

 

 

(1,676,780

)

 

 

-

 

 

 

(48,024,749

)

Purchases and advances

 

 

7,665,000

 

 

 

-

 

 

 

4,000,000

 

 

 

-

 

 

 

11,665,000

 

Settlements and redemptions

 

 

(8,561,655

)

 

 

-

 

 

 

(7,002,925

)

 

 

(1,292,000

)

 

 

(16,856,580

)

Ending Balance September 30, 2023

 

$

859,045,950

 

 

$

(112,448

)

 

$

17,611,663

 

 

$

225,013

 

 

$

876,770,178

 

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, 2023

 

$

17,344

 

 

$

-

 

 

$

-

 

 

$

(74,463

)

 

$

(57,119

)
(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, 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)

 

 

231,376

 

 

 

-

 

 

 

(18,149

)

 

 

3,844,528

 

 

 

4,057,755

 

Included in other comprehensive income

 

 

(36,662,853

)

 

 

(211,377

)

 

 

(2,213,376

)

 

 

-

 

 

 

(39,087,606

)

Purchases and advances

 

 

119,452,688

 

 

 

-

 

 

 

10,319,875

 

 

 

-

 

 

 

129,772,563

 

Settlements and redemptions

 

 

(23,383,265

)

 

 

-

 

 

 

(7,008,583

)

 

 

(3,950,755

)

 

 

(34,342,603

)

Ending Balance September 30, 2023

 

$

859,045,950

 

 

$

(112,448

)

 

$

17,611,663

 

 

$

225,013

 

 

$

876,770,178

 

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 September 30, 2023

 

$

51,656

 

 

$

-

 

 

$

-

 

 

$

(88,722

)

 

$

(37,066

)
(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, 2022:

 

 

For the Three Months ended September 30, 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 July 1, 2022

 

$

727,278,997

 

 

$

8,953

 

 

$

11,457,256

 

 

$

398,280

 

 

$

739,143,486

 

Total gains (losses) (realized/unrealized)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in earnings (interest income and
   interest expense)

 

 

1,659,492

 

 

 

-

 

 

 

(4,860

)

 

 

1,298,340

 

 

 

2,952,972

 

Included in other comprehensive income

 

 

(22,467,010

)

 

 

(91,864

)

 

 

(221,686

)

 

 

-

 

 

 

(22,780,560

)

Purchases and advances

 

 

1,623,437

 

 

 

-

 

 

 

2,300,000

 

 

 

-

 

 

 

3,923,437

 

Settlements and redemptions

 

 

(13,025,486

)

 

 

-

 

 

 

(2,676

)

 

 

(1,313,061

)

 

 

(14,341,223

)

Ending Balance September 30, 2022

 

$

695,069,430

 

 

$

(82,911

)

$

13,528,034

 

 

$

383,559

 

 

$

708,898,112

 

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 September 30, 2022

 

$

17,345

 

 

$

-

 

 

$

-

 

 

$

(14,509

)

 

$

2,836

 
(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, 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)

 

 

1,877,774

 

 

 

-

 

 

 

(14,932

)

 

 

4,497,078

 

 

 

6,359,920

 

Included in other comprehensive income

 

 

(89,766,975

)

 

 

(1,047,315

)

 

 

(553,379

)

 

 

-

 

 

 

(91,367,669

)

Purchases and advances

 

 

91,567,687

 

 

 

-

 

 

 

10,675,750

 

 

 

-

 

 

 

102,243,437

 

Settlements and redemptions

 

 

(101,258,367

)

 

 

-

 

 

 

(7,848

)

 

 

(4,456,937

)

 

 

(105,723,152

)

Other (2)

 

 

(860,533

)

 

 

-

 

 

 

-

 

 

 

-

 

 

 

(860,533

)

Ending Balance September 30, 2022

 

$

695,069,430

 

 

$

(82,911

)

 

$

13,528,034

 

 

$

383,559

 

 

$

708,898,112

 

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 September 30, 2022

 

$

39,968

 

 

$

-

 

 

$

-

 

 

$

107,617

 

 

$

147,585

 
(1)
Mortgage revenue bonds includes 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.
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, 2023 and December 31, 2022:

 

 

September 30, 2023

 

 

December 31, 2022

 

 

 

Carrying Amount

 

 

Fair Value

 

 

Carrying Amount

 

 

Fair Value

 

Financial Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Debt financing

 

$

1,081,409,507

 

 

$

1,071,406,487

 

 

$

1,058,903,952

 

 

$

1,059,674,409

 

Secured lines of credit

 

 

16,500,000

 

 

 

16,500,000

 

 

 

55,500,000

 

 

 

55,500,000

 

Mortgages payable and other secured financing

 

 

26,512,747

 

 

 

26,690,000

 

 

 

1,690,000

 

 

 

1,690,000