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Fair Value of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2024
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 June 30, 2024 and December 31, 2023 are as follows:

 

 

 

Range of Effective Yields

 

Weighted Average Effective Yields (1)

 

Security Type

 

June 30, 2024

 

December 31, 2023

 

June 30, 2024

 

 

December 31, 2023

 

Mortgage revenue bonds (2)

 

2.9% - 8.4%

 

2.3% - 7.7%

 

 

5.5

%

 

 

4.8

%

Taxable mortgage revenue bonds

 

7.1% - 11.9%

 

6.5% - 11.9%

 

 

8.9

%

 

 

8.8

%

Bond purchase commitments

 

4.7%

 

4.1%

 

 

4.7

%

 

 

4.1

%
(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 as the bankruptcy process is nearly complete. The valuation as of June 30, 2024 is based on expected additional liquidation proceeds of approximately $365,000 at final liquidation.
Summary of Assets Measured at Fair Value on Recurring Basis

Assets measured at fair value on a recurring basis as of June 30, 2024 are summarized as follows:

 

 

Fair Value Measurements as of June 30, 2024

 

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

 

$

990,067,074

 

 

$

-

 

 

$

-

 

 

$

990,067,074

 

Mortgage revenue bonds

 

 

11,984,951

 

 

 

-

 

 

 

-

 

 

 

11,984,951

 

Bond purchase commitments (reported within other assets)

 

 

46,238

 

 

 

-

 

 

 

-

 

 

 

46,238

 

Taxable mortgage revenue bonds (reported within other assets)

 

 

15,926,321

 

 

 

-

 

 

 

-

 

 

 

15,926,321

 

Derivative instruments (reported within other assets)

 

 

9,679,247

 

 

 

-

 

 

 

9,679,247

 

 

 

-

 

Derivative swap liability (reported within other liabilities)

 

 

(418,075

)

 

 

-

 

 

 

(418,075

)

 

 

-

 

Total Assets and Liabilities at Fair Value, net

 

$

1,027,285,756

 

 

$

-

 

 

$

9,261,172

 

 

$

1,018,024,584

 

 

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

 
Summary of Activity Related to Level 3 Assets and Liabilities

The following table summarizes the activity related to Level 3 assets for the three and six months ended June 30, 2024:

 

 

For the Three Months Ended June 30, 2024

 

 

 

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 April 1, 2024

 

$

942,745,597

 

 

$

134,829

 

 

$

10,980,756

 

 

$

34

 

 

$

953,861,216

 

Total gains (losses) (realized/unrealized)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in earnings (interest income and
   interest expense)

 

 

56,457

 

 

 

-

 

 

 

(2,894

)

 

 

(34

)

 

 

53,529

 

Included in earnings (provision for credit loss)

 

 

169,308

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

169,308

 

Included in earnings (gain on sale of
   mortgage revenue bond)

 

 

1,012,581

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

1,012,581

 

Included in other comprehensive income

 

 

(10,482,567

)

 

 

(88,591

)

 

 

(125,411

)

 

 

-

 

 

 

(10,696,569

)

Purchases and advances

 

 

78,375,062

 

 

 

-

 

 

 

5,077,000

 

 

 

-

 

 

 

83,452,062

 

Sales

 

 

(8,221,234

)

 

 

-

 

 

 

-

 

 

 

-

 

 

 

(8,221,234

)

Settlements and redemptions

 

 

(1,603,179

)

 

 

-

 

 

 

(3,130

)

 

 

-

 

 

 

(1,606,309

)

Ending Balance June 30, 2024

 

$

1,002,052,025

 

 

$

46,238

 

 

$

15,926,321

 

 

$

-

 

 

$

1,018,024,584

 

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 June 30, 2024

 

$

186,653

 

 

$

-

 

 

$

-

 

 

$

(34

)

 

$

186,619

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

 

 

 

For the Six Months ended June 30, 2024

 

 

 

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, 2024

 

$

930,675,295

 

 

$

197,788

 

 

$

21,460,288

 

 

$

265

 

 

$

952,333,636

 

Total gains (losses) (realized/unrealized)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in earnings (interest income and
   interest expense)

 

 

127,840

 

 

 

-

 

 

 

(8,944

)

 

 

(265

)

 

 

118,631

 

Included in earnings (provision for credit loss)

 

 

169,308

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

169,308

 

Included in earnings (gain on sale of
   mortgage revenue bond)

 

 

1,012,581

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

1,012,581

 

Included in other comprehensive income

 

 

(22,520,881

)

 

 

(151,550

)

 

 

(95,834

)

 

 

-

 

 

 

(22,768,265

)

Purchases and advances

 

 

104,672,860

 

 

 

-

 

 

 

6,077,000

 

 

 

-

 

 

 

110,749,860

 

Sales

 

 

(8,221,234

)

 

 

-

 

 

 

-

 

 

 

-

 

 

 

(8,221,234

)

Settlements and redemptions

 

 

(3,863,744

)

 

 

-

 

 

 

(11,506,189

)

 

 

-

 

 

 

(15,369,933

)

Ending Balance June 30, 2024

 

$

1,002,052,025

 

 

$

46,238

 

 

$

15,926,321

 

 

$

-

 

 

$

1,018,024,584

 

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 June 30, 2024

 

$

203,808

 

 

$

-

 

 

$

-

 

 

$

(265

)

 

$

203,543

 
(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 six months ended June 30, 2023:

 

 

For the Three Months ended June 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 April 1, 2023

 

$

867,383,622

 

 

$

211,476

 

 

$

18,146,540

 

 

$

285,145

 

 

$

886,026,783

 

Total gains (losses) (realized/unrealized)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in earnings (interest income and
   interest expense)

 

 

77,836

 

 

 

-

 

 

 

(6,049

)

 

 

1,311,754

 

 

 

1,383,541

 

Included in other comprehensive income

 

 

(11,144,483

)

 

 

(73,376

)

 

 

(355,087

)

 

 

-

 

 

 

(11,572,946

)

Purchases and advances

 

 

51,164,875

 

 

 

-

 

 

 

4,514,875

 

 

 

-

 

 

 

55,679,750

 

Settlements and redemptions

 

 

(1,517,871

)

 

 

-

 

 

 

(2,861

)

 

 

(1,295,275

)

 

 

(2,816,007

)

Ending Balance June 30, 2023

 

$

905,963,979

 

 

$

138,100

 

$

22,297,418

 

 

$

301,624

 

 

$

928,701,121

 

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 June 30, 2023

 

$

17,345

 

 

$

-

 

 

$

-

 

 

$

(8,235

)

 

$

9,110

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

 

 

 

For the Six Months Ended June 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)

 

 

155,329

 

 

 

-

 

 

 

(12,099

)

 

 

2,629,139

 

 

 

2,772,369

 

Included in other comprehensive income

 

 

9,434,568

 

 

 

39,171

 

 

 

(536,596

)

 

 

-

 

 

 

8,937,143

 

Purchases and advances

 

 

111,787,688

 

 

 

-

 

 

 

6,319,875

 

 

 

-

 

 

 

118,107,563

 

Settlements and redemptions

 

 

(14,821,610

)

 

 

-

 

 

 

(5,658

)

 

 

(2,658,755

)

 

 

(17,486,023

)

Ending Balance June 30, 2023

 

$

905,963,979

 

 

$

138,100

 

 

$

22,297,418

 

 

$

301,624

 

 

$

928,701,121

 

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 June 30, 2023

 

$

34,312

 

 

$

-

 

 

$

-

 

 

$

(14,259

)

 

$

20,053

 
(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 June 30, 2024 and December 31, 2023:

 

 

 

June 30, 2024

 

 

December 31, 2023

 

 

 

Carrying Amount

 

 

Fair Value

 

 

Carrying Amount

 

 

Fair Value

 

Financial Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Debt financing

 

$

1,052,526,098

 

 

$

1,049,918,127

 

 

$

1,015,030,066

 

 

$

1,019,218,351

 

Secured lines of credit

 

 

41,250,000

 

 

 

41,250,000

 

 

 

33,400,000

 

 

 

33,400,000

 

Mortgages payable

 

 

1,690,000

 

 

 

1,690,000

 

 

 

1,690,000

 

 

 

1,690,000