| Summary of Assets and Liabilities Measured at Fair Value on Recurring Basis |
Assets measured at fair value on a recurring basis as of December 31, 2018 are summarized as follows:
|
|
|
Fair Value Measurements as of December 31, 2018 |
|
|
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 |
|
$ |
645,258,873 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
645,258,873 |
|
|
Mortgage revenue bonds |
|
|
86,894,562 |
|
|
|
- |
|
|
|
- |
|
|
|
86,894,562 |
|
|
PHC Certificates |
|
|
48,672,086 |
|
|
|
- |
|
|
|
- |
|
|
|
48,672,086 |
|
|
Taxable mortgage revenue bonds
(reported within other assets) |
|
|
1,409,895 |
|
|
|
- |
|
|
|
- |
|
|
|
1,409,895 |
|
|
Derivative instruments (reported within
other assets) |
|
|
626,633 |
|
|
|
- |
|
|
|
- |
|
|
|
626,633 |
|
|
Total Assets at Fair Value, net |
|
$ |
782,862,049 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
782,862,049 |
|
Assets and liabilities measured at fair value on a recurring basis as of December 31, 2017 are summarized as follows:
|
|
|
Fair Value Measurements as of December 31, 2017 |
|
|
Description |
|
Assets (Liabilities)
at Fair Value |
|
|
Quoted Prices in
Active Markets for
Identical Assets
(Liabilities)
(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 instruments (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 |
|
|
| Summary of Activity Related to Level 3 Assets and Liabilities |
The following table summarizes the activity related to Level 3 assets and liabilities for the year ended December 31, 2018:
|
|
|
For the Years Ended December 31, 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 and interest expense) |
|
|
144,692 |
|
|
|
- |
|
|
|
(77,096 |
) |
|
|
- |
|
|
|
724,579 |
|
|
|
792,175 |
|
|
Included in earnings (impairment
of securities) |
|
|
- |
|
|
|
- |
|
|
|
(1,141,020 |
) |
|
|
- |
|
|
|
- |
|
|
|
(1,141,020 |
) |
|
Included in other
comprehensive income |
|
|
(14,560,720 |
) |
|
|
(3,002,540 |
) |
|
|
950,228 |
|
|
|
(32,756 |
) |
|
|
- |
|
|
|
(16,645,788 |
) |
|
Purchases |
|
|
41,708,000 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
41,708,000 |
|
|
Settlements |
|
|
(83,760,244 |
) |
|
|
- |
|
|
|
(701,614 |
) |
|
|
(979,808 |
) |
|
|
131,685 |
|
|
|
(85,309,981 |
) |
|
Ending Balance December 31, 2018 |
|
$ |
732,153,435 |
|
|
$ |
- |
|
|
$ |
48,672,086 |
|
|
$ |
1,409,895 |
|
|
$ |
626,633 |
|
|
$ |
782,862,049 |
|
|
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 December 31, 2018 |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
(1,141,020 |
) |
|
$ |
- |
|
|
$ |
724,579 |
|
|
$ |
(416,441 |
) |
|
(1) |
Mortgage revenue bonds include both bonds held in trust as well as those held by the Partnership. The beginning balance also 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 table summarizes the activity related to Level 3 assets and liabilities for the year ended December 31, 2017:
|
|
|
For the Years Ended December 31, 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) |
|
|
212,712 |
|
|
|
- |
|
|
|
(654,290 |
) |
|
|
- |
|
|
|
(240,091 |
) |
|
|
(681,669 |
) |
|
Included in other
comprehensive income |
|
|
37,104,392 |
|
|
|
603,091 |
|
|
|
(882,452 |
) |
|
|
(96,685 |
) |
|
|
- |
|
|
|
36,728,346 |
|
|
Purchases |
|
|
121,347,000 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
556,017 |
|
|
|
121,903,017 |
|
|
Settlements |
|
|
(50,036,500 |
) |
|
|
- |
|
|
|
(5,979,738 |
) |
|
|
(1,565,455 |
) |
|
|
410,122 |
|
|
|
(57,171,571 |
) |
|
Ending Balance December 31, 2017 |
|
$ |
788,838,655 |
|
|
$ |
3,002,540 |
|
|
$ |
49,641,588 |
|
|
$ |
2,422,459 |
|
|
$ |
(229,631 |
) |
|
$ |
843,675,611 |
|
|
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 December 31, 2017 |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
(761,960 |
) |
|
$ |
- |
|
|
$ |
(240,091 |
) |
|
$ |
(1,002,051 |
) |
|
(1) |
Mortgage revenue bonds include 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 table summarizes the activity related to Level 3 assets and liabilities for the year ended December 31, 2016:
|
|
|
For the Years Ended December 31, 2016 |
|
|
|
|
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, 2016 |
|
$ |
583,683,137 |
|
|
$ |
5,634,360 |
|
|
$ |
60,707,290 |
|
|
$ |
4,824,060 |
|
|
$ |
(972,898 |
) |
|
$ |
653,875,949 |
|
|
Total gains (losses)
(realized/unrealized) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Included in earnings (interest expense) |
|
|
175,769 |
|
|
|
- |
|
|
|
(54,605 |
) |
|
|
- |
|
|
|
17,618 |
|
|
|
138,782 |
|
|
Included in other comprehensive
income |
|
|
(17,342,217 |
) |
|
|
(3,234,911 |
) |
|
|
(1,480,497 |
) |
|
|
(188,299 |
) |
|
|
- |
|
|
|
(22,245,924 |
) |
|
Purchases |
|
|
130,620,000 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
130,620,000 |
|
|
Sale of securities |
|
|
(9,295,000 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(399 |
) |
|
|
(9,295,399 |
) |
|
Settlements |
|
|
(7,630,638 |
) |
|
|
- |
|
|
|
(2,014,120 |
) |
|
|
(551,162 |
) |
|
|
- |
|
|
|
(10,195,920 |
) |
|
Ending Balance December 31, 2016 |
|
$ |
680,211,051 |
|
|
$ |
2,399,449 |
|
|
$ |
57,158,068 |
|
|
$ |
4,084,599 |
|
|
$ |
(955,679 |
) |
|
$ |
742,897,488 |
|
|
Total amount of losses for the period
included in earnings attributable to
the change in unrealized losses
relating to assets or liabilities held on
December 31, 2016 |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
17,618 |
|
|
$ |
17,618 |
|
|
(1) |
Mortgage revenue bonds include 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. |
|