Fair Value Disclosures (Tables)

12 Months Ended

Dec. 31, 2012

Fair Value Disclosures [Abstract]

Fair Value Measurements, Recurring and Nonrecurring

The following tables present information about Farmer Mac's assets and liabilities measured at fair value on a recurring and nonrecurring basis as of December 31, 2012 and December 31, 2011, respectively, and indicate the fair value hierarchy of the valuation techniques used by Farmer Mac to determine such fair value:

Assets and Liabilities Measured at Fair Value as of December 31, 2012
	Level 1		Level 2		Level 3		Total
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	—	$	—	$	63,159	$	63,159
Floating rate asset-backed securities	—		151,044		—		151,044
Fixed rate asset-backed securities	—		6,501		—		6,501
Floating rate corporate debt securities	—		76,763		—		76,763
Fixed rate corporate debt	—		52,416		—		52,416
Floating rate Government/GSE guaranteed mortgage-backed securities	—		712,859		—		712,859
Fixed rate GSE guaranteed mortgage-backed securities	—		2,065		—		2,065
Floating rate GSE subordinated debt	—		57,431		—		57,431
Fixed rate commercial paper	—		—		—		—
Fixed rate GSE preferred stock	—		87,086		—		87,086
Floating rate senior agency debt	—		50,055		—		50,055
Fixed rate senior agency debt	—		73,114		—		73,114
Fixed rate U.S. Treasuries	1,165,889		—		—		1,165,889
Total available-for-sale	1,165,889		1,269,334		63,159		2,498,382
Trading:
Floating rate asset-backed securities	—		—		1,247		1,247
Total trading	—		—		1,247		1,247
Total Investment Securities	1,165,889		1,269,334		64,406		2,499,629
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farmer Mac I	—		—		3,426,489		3,426,489
Farmer Mac II	—		—		26,681		26,681
Rural Utilities	—		—		1,313,088		1,313,088
Total Farmer Mac Guaranteed Securities	—		—		4,766,258		4,766,258
USDA Guaranteed Securities:
Available-for-sale	—		—		1,486,595		1,486,595
Trading	—		—		104,188		104,188
Total USDA Guaranteed Securities	—		—		1,590,783		1,590,783
Financial derivatives	—		31,173		—		31,173
Total Assets at fair value	$	1,165,889	$	1,300,507	$	6,421,447	$	8,887,843
Liabilities:
Financial derivatives	$	12	$	149,979	$	691	$	150,682
Total Liabilities at fair value	$	12	$	149,979	$	691	$	150,682
Nonrecurring:
Assets:
Loans held for sale	$	—	$	—	$	657,154	$	657,154
Loans held for investment	—		—		8,130		8,130
REO	—		—		1,704		1,704
Total Nonrecurring Assets at fair value	$	—	$	—	$	666,988	$	666,988

Assets and Liabilities Measured at Fair Value as of December 31, 2011
	Level 1		Level 2		Level 3		Total
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	—	$	—	$	60,213	$	60,213
Floating rate asset-backed securities	—		178,560		—		178,560
Floating rate corporate debt securities	—		73,833		—		73,833
Floating rate Government/GSE guaranteed mortgage-backed securities	—		764,038		—		764,038
Fixed rate GSE guaranteed mortgage-backed securities	—		3,360		—		3,360
Floating rate GSE subordinated debt	—		52,562		—		52,562
Fixed rate GSE preferred stock	—		84,878		—		84,878
Fixed rate corporate debt	—		38,699		—		38,699
Fixed rate commercial paper	—		10,000		—		10,000
Fixed rate U.S. Treasuries	799,266		—		—		799,266
Senior agency debt	—		117,285		—		117,285
Total available-for-sale	799,266		1,323,215		60,213		2,182,694
Trading:
Floating rate asset-backed securities	—		—		1,796		1,796
Total trading	—		—		1,796		1,796
Total Investment Securities	799,266		1,323,215		62,009		2,184,490
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farmer Mac I	—		—		2,807,627		2,807,627
Farmer Mac II	—		—		35,599		35,599
Rural Utilities	—		—		1,446,046		1,446,046
Total Farmer Mac Guaranteed Securities	—		—		4,289,272		4,289,272
USDA Guaranteed Securities:
Available-for-sale	—		—		1,279,546		1,279,546
Trading	—		—		212,359		212,359
Total USDA Guaranteed Securities	—		—		1,491,905		1,491,905
Financial derivatives	—		40,250		—		40,250
Total Assets at fair value	$	799,266	$	1,363,465	$	5,843,186	$	8,005,917
Liabilities:
Financial derivatives	$	—	$	158,689	$	1,335	$	160,024
Total Liabilities at fair value	$	—	$	158,689	$	1,335	$	160,024
Nonrecurring:
Assets:
Loans Held for sale	$	—	$	—	$	—	$	—
Loans held for investment	—		—		10,118		10,118
REO	—		—		1,296		1,296
Total Nonrecurring Assets at fair value	$	—	$	—	$	11,414	$	11,414

Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables present additional information about assets and liabilities measured at fair value on a recurring basis for which Farmer Mac has used significant unobservable inputs to determine fair value. Net transfers in and/or out of level 3 are based on the fair values of the assets and liabilities as of the beginning of the reporting period.

Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2012
	Beginning Balance			Purchases		Sales			Settlements			Realized and Unrealized Gains/ (Losses) included in Income		Unrealized Gains/(Losses) included in Other Comprehen-sive Income			Ending Balance
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	60,213		$	—	$	—		$	—		$	—	$	2,946		$	63,159
Total available-for-sale	60,213			—		—			—			—		2,946			63,159
Trading:
Floating rate asset-backed securities(1)	1,796			—		—			(812		)	263		—			1,247
Total trading	1,796			—		—			(812		)	263		—			1,247
Total Investment Securities	62,009			—		—			(812		)	263		2,946			64,406
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farmer Mac I	2,807,627			601,000		—			(2,832		)	6,388		14,306			3,426,489
Farmer Mac II	35,599			5,327		(5,327		)	(8,907		)	—		(11		)	26,681
Rural Utilities	1,446,046			383,406		—			(495,701		)	—		(20,663		)	1,313,088
Total Farmer Mac Guaranteed Securities	4,289,272			989,733		(5,327		)	(507,440		)	6,388		(6,368		)	4,766,258
USDA Guaranteed Securities:
Available-for-sale	1,279,546			479,324		—			(256,685		)	—		(15,590		)	1,486,595
Trading(2)	212,359			—		—			(108,215		)	44		—			104,188
Total USDA Guaranteed Securities	1,491,905			479,324		—			(364,900		)	44		(15,590		)	1,590,783
Total Assets at fair value	$	5,843,186		$	1,469,057	$	(5,327	)	$	(873,152	)	$	6,695	$	(19,012	)	$	6,421,447
Liabilities:
Financial derivatives(3)	$	(1,335	)	$	—	$	—		$	—		$	644	$	—		$	(691	)
Total Liabilities at fair value	$	(1,335	)	$	—	$	—		$	—		$	644	$	—		$	(691	)

(1) Unrealized gains are attributable to assets still held as of December 31, 2012 and are recorded in Gains on trading assets.

(2) Includes unrealized gains of $0.3 million attributable to assets still held as of December 31, 2012 that are recorded in Gains on trading assets.

(3) Unrealized gains are attributable to liabilities still held as of December 31, 2012 and are recorded in Losses on financial derivatives and hedging activities.

Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2011
	Beginning Balance			Purchases		Sales			Settlements			Realized and Unrealized Gains/ (Losses) included in Income		Unrealized Gains/(Losses) included in Other Comprehen-sive Income			Ending Balance
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	64,335		$	—	$	—		$	—		$	—	$	(4,122	)	$	60,213
Total available-for-sale	64,335			—		—			—			—		(4,122		)	60,213
Trading:
Floating rate asset-backed securities(1)	1,400			—		—			(822		)	1,218		—			1,796
Total Trading	1,400			—		—			(822		)	1,218		—			1,796
Total Investment Securities	65,735			—		—			(822		)	1,218		(4,122		)	62,009
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farmer Mac I	942,809			1,801,500		—			(2,031		)	—		65,349			2,807,627
Farmer Mac II	37,637			3,268		(3,268		)	(4,334		)	—		2,296			35,599
Rural Utilities	1,926,818			—		—			(476,400		)	—		(4,372		)	1,446,046
Total Farmer Mac Guaranteed Securities	2,907,264			1,804,768		(3,268		)	(482,765		)	—		63,273			4,289,272
USDA Guaranteed Securities:
Available-for-sale	1,005,679			404,836		—			(172,785		)	—		41,816			1,279,546
Trading(2)	311,765			—		—			(102,525		)	3,119		—			212,359
Total USDA Guaranteed Securities	1,317,444			404,836		—			(275,310		)	3,119		41,816			1,491,905
Total Assets at fair value	$	4,290,443		$	2,209,604	$	(3,268	)	$	(758,897	)	$	4,337	$	100,967		$	5,843,186
Liabilities:
Financial derivatives(3)	$	(3,390	)	$	—	$	—		$	—		$	2,055	$	—		$	(1,335	)
Total Liabilities at fair value	$	(3,390	)	$	—	$	—		$	—		$	2,055	$	—		$	(1,335	)

(1) Unrealized gains are attributable to assets still held as of December 31, 2011 and are recorded in Gains on trading assets.

(2) Includes unrealized losses of $1.8 million attributable to assets still held as of December 31, 2011 that are recorded in Gains on trading assets.

(3) Unrealized gains are attributable to liabilities still held as of December 31, 2011 and are recorded in Losses on financial derivatives and hedging activities.

Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2010
	Beginning Balance			Purchases, Sales, Issuances and Settlements, net			Realized and Unrealized Gains/ (Losses) included in Income		Realized and Unrealized Gains/ (Losses) included in Other Comprehen-sive Income			Net Transfers In and/or Out			Ending Balance
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	72,884		$	—		$	—	$	(8,549	)	$	—		$	64,335
Floating rate GSE subordinated debt	47,562			—			—		—			(47,562		)	—
Fixed rate GSE preferred stock	89,211			—			—		—			(89,211		)	—
Total available-for-sale	209,657			—			—		(8,549		)	(136,773		)	64,335
Trading:
Floating rate asset-backed securities(1)	1,824			(748		)	324		—			—			1,400
Fixed rate GSE preferred stock	88,148			—			—		—			(88,148		)	—
Total trading	89,972			(748		)	324		—			(88,148		)	1,400
Total Investment Securities	299,629			(748		)	324		(8,549		)	(224,921		)	65,735
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farmer Mac I	56,864			892,670			—		(1,340		)	(5,385		)	942,809
Farmer Mac II	764,792			(1,607		)	—		(2,364		)	(723,184		)	37,637
Rural Utilities	1,703,211			212,202			—		11,405			—			1,926,818
Total available-for-sale	2,524,867			1,103,265			—		7,701			(728,569		)	2,907,264
Trading:
Farmer Mac II	422,681			—			—		—			(422,681		)	—
Rural Utilities	451,448			—			—		—			(451,448		)	—
Total trading	874,129			—			—		—			(874,129		)	—
Total Farmer Guaranteed Securities	3,398,996			1,103,265			—		7,701			(1,602,698		)	2,907,264
USDA Guaranteed Securities:
Available-for-sale	—			277,987			—		4,508			723,184			1,005,679
Trading(2)	—			(113,491		)	2,575		—			422,681			311,765
Total USDA Guaranteed Securities	—			164,496			2,575		4,508			1,145,865			1,317,444
Total Assets at fair value	$	3,698,625		$	1,267,013		$	2,899	$	3,660		$	(681,754	)	$	4,290,443
Liabilities:
Financial derivatives(3)	$	(3,653	)	$	—		$	263	$	—		$	—		$	(3,390	)
Total Liabilities at fair value	$	(3,653	)	$	—		$	263	$	—		$	—		$	(3,390	)

(1) Unrealized losses are attributable to assets still held as of December 31, 2010 and are recorded in Gains on trading assets.

(2) Includes unrealized losses of $2.0 million attributable to assets still held as of December 31, 2010 that are recorded in Gains on trading assets.

(3) Unrealized losses are attributable to liabilities still held as of December 31, 2010 and are recorded in Losses on financial derivatives and hedging activities.

Fair Value Inputs, Assets and Liabilities, Quantitative Information

The following table presents additional information about the significant unobservable inputs used in the fair value measurements categorized in level 3 of the fair value hierarchy:

	Fair Value as of			Unobservable	Range
Financial Instruments	December 31, 2012		Valuation Technique	Input	(Weighted-Average)
	(in thousands)
Assets:
Investment securities:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	63,159	Indicative bids	Range of broker quotes	82.0% - 90.0% (85.0%)
Floating rate asset-backed securities	$	1,247	Discounted cash flow	Discount rate	12.4% - 19.7% (16.2%)
				Constant prepayment rate	10%
Farmer Mac Guaranteed Securities:
Farmer Mac I	$	3,426,489	Discounted cash flow	Discount rate	1.1% - 3.4% (1.6%)
Farmer Mac II	$	26,681	Discounted cash flow	Discount rate	1.0% - 3.4% (2.1%)
				Constant prepayment rate	8% - 17% (14%)
Rural Utilities	$	1,313,088	Discounted cash flow	Discount rate	0.8% - 2.9% (1.6%)
USDA Guaranteed Securities	$	1,590,783	Discounted cash flow	Discount rate	1.4% - 5.3% (3.4%)
				Constant prepayment rate	0% - 26% (10%)
Liabilities:
Financial Derivatives:
Basis swaps	$	691	Discounted cash flow	Discount rate	1.0% - 3.0% (1.7%)
				Constant prepayment rate	11% - 19% (16%)

Fair Value, by Balance Sheet Grouping

The following table sets forth the estimated fair values and carrying values for financial assets, liabilities and guarantees and commitments as of December 31, 2012 and December 31, 2011:

	December 31, 2012				December 31, 2011
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	785,564	$	785,564	$	817,046	$	817,046
Investment securities	2,499,629		2,499,629		2,184,490		2,184,490
Farmer Mac Guaranteed Securities	4,766,258		4,766,258		4,289,272		4,289,272
USDA Guaranteed Securities	1,590,783		1,590,783		1,491,905		1,491,905
Loans	2,746,742		2,729,774		2,971,187		2,894,156
Financial derivatives	31,173		31,173		40,250		40,250
Guarantee and commitment fees receivable:
LTSPCs	27,805		22,863		22,802		15,886
Farmer Mac Guaranteed Securities	20,432		18,926		17,960		15,498
Financial liabilities:
Notes payable:
Due within one year	6,573,013		6,567,366		6,091,573		6,087,879
Due after one year	5,202,751		5,034,739		4,288,670		4,104,882
Debt securities of consolidated trusts held by third parties	164,910		167,621		726,826		701,583
Financial derivatives	150,682		150,682		160,024		160,024
Guarantee and commitment obligations:
LTSPCs	26,896		21,954		22,047		15,131
Farmer Mac Guaranteed Securities	17,354		15,849		14,771		12,309