Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2018

Assets and liabilities measured at fair value on a recurring basis at June 30, 2018 are summarized as follows:

	Fair Value Measurements at June 30, 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	$	673,152,217		$	-	$	-	$	673,152,217
Mortgage revenue bonds		94,477,120			-		-		94,477,120
Bond purchase commitments (reported within other assets)		994,685			-		-		994,685
PHC Certificates		49,070,710			-		-		49,070,710
Taxable mortgage revenue bonds (reported within other assets)		2,357,952			-		-		2,357,952
Derivative contracts (reported within other assets)		1,026,976			-		-		1,026,976
Derivative swap liability		(129,018	)		-		-		(129,018	)
Total Assets and Liabilities at Fair Value, net	$	820,950,642		$	-	$	-	$	820,950,642

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 and six months ended June 30, 2018:

	For the Three Months Ended June 30, 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 April 1, 2018	$	755,959,454		$	2,027,473		$	48,939,254		$	2,397,825		$	852,702	$	810,176,708
Total gains (losses) (realized/unrealized)
Included in earnings (interest income and interest expense)		36,221			-			(850,336	)		-			6,386		(807,729	)
Included in other comprehensive (loss) income		4,077,300			(1,032,788	)		981,792			(12,079	)		-		4,014,225
Purchases		19,540,000			-			-			-			-		19,540,000
Settlements		(11,983,638	)		-			-			(27,794	)		38,870		(11,972,562	)
Ending Balance June 30, 2018	$	767,629,337		$	994,685		$	49,070,710		$	2,357,952		$	897,958	$	820,950,642
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, 2018	$	-		$	-		$	(831,062	)	$	-		$	6,386	$	(824,676	)

⁽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 following tables summarizes the activity related to Level 3 assets and liabilities for the three and six months ended June 30, 2017:

	For the Three Months Ended June 30, 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 April 1, 2017	$	758,905,896		$	2,620,393	$	55,851,799		$	4,179,205		$	(1,077,028	)	$	820,480,265
Total gains (losses) (realized/unrealized)
Included in earnings (interest income and interest expense)		53,235			-		(14,129	)		-			(181,420	)		(142,314	)
Included in other comprehensive (loss) income		10,059,745			544,779		390,701			(223,758	)		-			10,771,467
Purchases		-			-		-			-			496,800			496,800
Settlements		(889,218	)		-		(437,000	)		(23,976	)		-			(1,350,194	)
Ending Balance June 30, 2017	$	768,129,658		$	3,165,172	$	55,791,371		$	3,931,471		$	(761,648	)	$	830,256,024
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 June 30, 2017	$	-		$	-	$	-		$	-		$	(181,420	)	$	(181,420	)

⁽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.

	For the Six Months Ended June 30, 2018
	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 ⁽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, impairment of securities and interest expense)		72,535			-			(869,610	)		-			996,381			199,306
Included in other comprehensive (loss) income		(17,319,328	)		(2,007,855	)		525,446			(33,981	)		-			(18,835,718	)
Purchases		19,540,000			-			-			-			-			19,540,000
Settlements		(23,285,577	)		-			(226,714	)		(30,526	)		131,208			(23,411,609	)
Ending Balance June 30, 2018	$	767,629,337		$	994,685		$	49,070,710		$	2,357,952		$	897,958		$	820,950,642
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, 2018	$	-		$	-		$	(831,062	)	$	-		$	996,381		$	165,319

⁽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.

	For the Six Months Ended June 30, 2017
	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 ⁽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)		106,590			-		(31,717	)		-			(302,769	)		(227,896	)
Included in other comprehensive (loss) income		30,230,298			765,723		(897,980	)		(125,264	)		-			29,972,777
Purchases		59,585,000			-		-			-			496,800			60,081,800
Settlements		(2,003,281	)		-		(437,000	)		(27,864	)		-			(2,468,145	)
Ending Balance June 30, 2017	$	768,129,658		$	3,165,172	$	55,791,371		$	3,931,471		$	(761,648	)	$	830,256,024
Total amount of losses for the period included in earnings attributable to the change in unrealized losses relating to assets or liabilities held on June 30, 2017	$	-		$	-	$	-		$	-		$	(302,769	)	$	(302,769	)

⁽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 June 30, 2018 and December 31, 2017:

	June 30, 2018				December 31, 2017
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Financial Liabilities:
Debt financing and LOCs	$	591,712,329	$	597,873,855	$	608,328,347	$	618,412,150
Mortgages payable and other secured financing		35,212,789		35,387,148		35,540,174		35,767,924