Fair Value Disclosures (Tables)

6 Months Ended

Jun. 30, 2013

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

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.

Table 8.2

Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended June 30, 2013
	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	$	65,213		$	—	$	—	$	—		$	—		$	(125	)	$	65,088
Floating rate Government/GSE guaranteed mortgage-backed securities	233			—		—		(9		)	—			(2		)	222
Total available-for-sale	65,446			—		—		(9		)	—			(127		)	65,310
Trading:
Floating rate asset-backed securities (1)	1,129			—		—		(186		)	121			—			1,064
Total trading	1,129			—		—		(186		)	121			—			1,064
Total Investment Securities	66,575			—		—		(195		)	121			(127		)	66,374
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farm & Ranch	3,528,520			200,000		—		(201,208		)	(14,730		)	(14,108		)	3,498,474
USDA Guarantees	27,198			—		—		(515		)	—			(889		)	25,794
Rural Utilities	1,544,362			—		—		(5,311		)	—			(4,466		)	1,534,585
Total Farmer Mac Guaranteed Securities	5,100,080			200,000		—		(207,034		)	(14,730		)	(19,463		)	5,058,853
USDA Guaranteed Securities:
Available-for-sale	1,569,160			110,897		—		(76,364		)	—			(59,929		)	1,543,764
Trading (2)	87,271			—		—		(13,231		)	(448		)	—			73,592
Total USDA Guaranteed Securities	1,656,431			110,897		—		(89,595		)	(448		)	(59,929		)	1,617,356
Total Assets at fair value	$	6,823,086		$	310,897	$	—	$	(296,824	)	$	(15,057	)	$	(79,519	)	$	6,742,583
Liabilities:
Financial derivatives (3)	$	(532	)	$	—	$	—	$	—		$	142		$	—		$	(390	)
Total Liabilities at fair value	$	(532	)	$	—	$	—	$	—		$	142		$	—		$	(390	)

(1) Unrealized gains are attributable to assets still held as of June 30, 2013 and are recorded in "Losses on trading assets."

(2) Includes unrealized losses of $0.3 million attributable to assets still held as of June 30, 2013 that are recorded in "Losses on trading assets."

(3) Unrealized gains are attributable to liabilities still held as of June 30, 2013 and are recorded in "Gains/(losses) on financial derivatives and hedging activities."

Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended June 30, 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	$	58,868		$	—	$	—		$	—		$	—		$	839		$	59,707
Total available-for-sale	58,868			—		—			—			—			839			59,707
Trading:
Floating rate asset-backed securities (1)	1,646			—		—			(239		)	23			—			1,430
Total trading	1,646			—		—			(239		)	23			—			1,430
Total Investment Securities	60,514			—		—			(239		)	23			839			61,137
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farm & Ranch	3,008,223			200,000		—			(1,007		)	—			16,116			3,223,332
USDA Guarantees	36,129			5,327		(5,327		)	(5,787		)	—			(443		)	29,899
Rural Utilities	1,345,509			—		—			(150,000		)	—			(4,273		)	1,191,236
Total Farmer Mac Guaranteed Securities	4,389,861			205,327		(5,327		)	(156,794		)	—			11,400			4,444,467
USDA Guaranteed Securities:
Available-for-sale	1,328,702			160,286		—			(69,775		)	—			(575		)	1,418,638
Trading (2)	184,397			—		—			(34,463		)	(3,109		)	—			146,825
Total USDA Guaranteed Securities	1,513,099			160,286		—			(104,238		)	(3,109		)	(575		)	1,565,463
Total Assets at fair value	$	5,963,474		$	365,613	$	(5,327	)	$	(261,271	)	$	(3,086	)	$	11,664		$	6,071,067
Liabilities:
Financial derivatives (3)	$	(1,225	)	$	—	$	—		$	—		$	258		$	—		$	(967	)
Total Liabilities at fair value	$	(1,225	)	$	—	$	—		$	—		$	258		$	—		$	(967	)

(1) Unrealized gains are attributable to assets still held as of June 30, 2012 and are recorded in "Losses on trading assets."

(2) Includes unrealized losses of $2.4 million attributable to assets still held as of June 30, 2012 that are recorded in "Losses on trading assets."

(3) Unrealized gains are attributable to liabilities still held as of June 30, 2012 and are recorded in "Gains/(losses) on financial derivatives and hedging activities."

Level 3 Assets and Liabilities Measured at Fair Value for the Six Months Ended June 30, 2013
	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	$	63,159		$	—	$	—	$	—		$	—		$	1,929		$	65,088
Floating rate Government/GSE guaranteed mortgage-backed securities	—			233		—		(9		)	—			(2		)	222
Total available-for-sale	63,159			233		—		(9		)	—			1,927			65,310
Trading:
Floating rate asset-backed securities (1)	1,247			—		—		(500		)	317			—			1,064
Total trading	1,247			—		—		(500		)	317			—			1,064
Total Investment Securities	64,406			233		—		(509		)	317			1,927			66,374
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farm & Ranch	3,426,489			300,000		—		(201,217		)	(17,868		)	(8,930		)	3,498,474
USDA Guarantees	26,681			—		—		(898		)	—			11			25,794
Rural Utilities	1,313,088			325,000		—		(83,235		)	—			(20,268		)	1,534,585
Total Farmer Mac Guaranteed Securities	4,766,258			625,000		—		(285,350		)	(17,868		)	(29,187		)	5,058,853
USDA Guaranteed Securities:
Available-for-sale	1,486,595			233,084		—		(145,566		)	—			(30,349		)	1,543,764
Trading (2)	104,188			—		—		(30,162		)	(434		)	—			73,592
Total USDA Guaranteed Securities	1,590,783			233,084		—		(175,728		)	(434		)	(30,349		)	1,617,356
Total Assets at fair value	$	6,421,447		$	858,317	$	—	$	(461,587	)	$	(17,985	)	$	(57,609	)	$	6,742,583
Liabilities:
Financial derivatives (3)	$	(691	)	$	—	$	—	$	—		$	301		$	—		$	(390	)
Total Liabilities at fair value	$	(691	)	$	—	$	—	$	—		$	301		$	—		$	(390	)

(1) Unrealized gains are attributable to assets still held as of June 30, 2013 and are recorded in "Losses on trading assets."

(2) Includes unrealized losses of $0.1 million attributable to assets still held as of June 30, 2013 that are recorded in "Losses on trading assets."

(3) Unrealized gains are attributable to liabilities still held as of June 30, 2013 and are recorded in "Gains/(losses) on financial derivatives and hedging activities."

Level 3 Assets and Liabilities Measured at Fair Value for the Six Months Ended June 30, 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		$	—	$	—		$	—		$	—		$	(506	)	$	59,707
Total available-for-sale	60,213			—		—			—			—			(506		)	59,707
Trading:
Floating rate asset-backed securities (1)	1,796			—		—			(527		)	161			—			1,430
Total trading	1,796			—		—			(527		)	161			—			1,430
Total Investment Securities	62,009			—		—			(527		)	161			(506		)	61,137
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farm & Ranch	2,807,627			400,000		—			(1,015		)	—			16,720			3,223,332
USDA Guarantees	35,599			5,327		(5,327		)	(6,015		)	—			315			29,899
Rural Utilities	1,446,046			—		—			(245,701		)	—			(9,109		)	1,191,236
Total Farmer Mac Guaranteed Securities	4,289,272			405,327		(5,327		)	(252,731		)	—			7,926			4,444,467
USDA Guaranteed Securities:
Available-for-sale	1,279,546			262,011		—			(123,793		)	—			874			1,418,638
Trading (2)	212,359			—		—			(63,386		)	(2,148		)	—			146,825
Total USDA Guaranteed Securities	1,491,905			262,011		—			(187,179		)	(2,148		)	874			1,565,463
Total Assets at fair value	$	5,843,186		$	667,338	$	(5,327	)	$	(440,437	)	$	(1,987	)	$	8,294		$	6,071,067
Liabilities:
Financial derivatives (3)	$	(1,335	)	$	—	$	—		$	—		$	368		$	—		$	(967	)
Total Liabilities at fair value	$	(1,335	)	$	—	$	—		$	—		$	368		$	—		$	(967	)

(1) Unrealized gains are attributable to assets still held as of June 30, 2012 and are recorded in "Losses on trading assets."

(2) Includes unrealized losses of $1.6 million attributable to assets still held as of June 30, 2012 that are recorded in "Losses on trading assets."

(3) Unrealized gains are attributable to liabilities still held as of June 30, 2012 and are recorded in "Gains/(losses) on financial derivatives and hedging activities."

^{[1],[2],[3],[4],[5],[6]}

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 June 30, 2013 and December 31, 2012, respectively, and indicate the fair value hierarchy of the valuation techniques used by Farmer Mac to determine such fair value:

Table 8.1

Assets and Liabilities Measured at Fair Value as of June 30, 2013
	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	$	—	$	—	$	65,088	$	65,088
Floating rate asset-backed securities	—		158,292		—		158,292
Floating rate corporate debt securities	—		104,656		—		104,656
Fixed rate corporate debt securities	—		65,065		—		65,065
Floating rate Government/GSE guaranteed mortgage-backed securities	—		663,885		222		664,107
Fixed rate GSE guaranteed mortgage-backed securities	—		5,833		—		5,833
Floating rate GSE subordinated debt	—		63,321		—		63,321
Fixed rate GSE preferred stock	—		86,889		—		86,889
Fixed rate taxable municipal bonds	—		18,721		—		18,721
Floating rate senior agency debt	—		50,032		—		50,032
Fixed rate senior agency debt	—		119,467		—		119,467
Fixed rate U.S. Treasuries	1,054,381		—		—		1,054,381
Total available-for-sale	1,054,381		1,336,161		65,310		2,455,852
Trading:
Floating rate asset-backed securities	—		—		1,064		1,064
Total trading	—		—		1,064		1,064
Total Investment Securities	1,054,381		1,336,161		66,374		2,456,916
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farm & Ranch	—		—		3,498,474		3,498,474
USDA Guarantees	—		—		25,794		25,794
Rural Utilities	—		—		1,534,585		1,534,585
Total Farmer Mac Guaranteed Securities	—		—		5,058,853		5,058,853
USDA Guaranteed Securities:
Available-for-sale	—		—		1,543,764		1,543,764
Trading	—		—		73,592		73,592
Total USDA Guaranteed Securities	—		—		1,617,356		1,617,356
Financial derivatives	—		23,164		—		23,164
Total Assets at fair value	$	1,054,381	$	1,359,325	$	6,742,583	$	9,156,289
Liabilities:
Financial derivatives	$	30	$	98,643	$	390	$	99,063
Total Liabilities at fair value	$	30	$	98,643	$	390	$	99,063
Nonrecurring:
Assets:
Loans held for investment	$	—	$	—	$	5,891	$	5,891
REO	—		—		2,088		2,088
Total Nonrecurring Assets at fair value	$	—	$	—	$	7,979	$	7,979

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:
Farm & Ranch	—		—		3,426,489		3,426,489
USDA Guarantees	—		—		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

Fair Value Inputs, Assets and Liabilities, Quantitative Information

The following tables present additional information about the significant unobservable inputs, such as discount rates and constant prepayment rates ("CPR"), used in the fair value measurements categorized in Level 3 of the fair value hierarchy as of June 30, 2013 and December 31, 2012:

Table 8.3

	June 30, 2013
Financial Instruments	Fair Value		Valuation Technique	Unobservable Input	Range (Weighted-Average)
	(in thousands)
Assets:
Investment securities:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	65,088	Indicative bids	Range of broker quotes	82.0% - 92.0% (87.8%)
Floating rate asset-backed securities	$	1,064	Discounted cash flow	Discount rate	11.8% - 19.9% (16.0%)
				CPR	10%
Floating rate Government/GSE guaranteed mortgage-backed securities	$	222	Discounted cash flow	Discount rate	1.7% - 1.7% (1.7%)
				CPR	7%
Farmer Mac Guaranteed Securities:
Farm & Ranch	$	3,498,474	Discounted cash flow	Discount rate	0.9% - 3.6% (1.7%)
USDA Guarantees	$	25,794	Discounted cash flow	Discount rate	0.9% - 3.3% (2.1%)
				CPR	8% - 15% (13%)
Rural Utilities	$	1,534,585	Discounted cash flow	Discount rate	0.8% - 3.2% (1.6%)
USDA Guaranteed Securities	$	1,617,356	Discounted cash flow	Discount rate	1.2% - 5.3% (3.3%)
				CPR	0% - 25% (7%)
Liabilities:
Financial Derivatives:
Basis swaps	$	390	Discounted cash flow	Discount rate	0.8% - 2.7% (1.5%)
				CPR	12% - 14% (13%)

	December 31, 2012
Financial Instruments	Fair Value		Valuation Technique	Unobservable Input	Range (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%)
				CPR	10%
Farmer Mac Guaranteed Securities:
Farm & Ranch	$	3,426,489	Discounted cash flow	Discount rate	1.1% - 3.4% (1.6%)
USDA Guarantees	$	26,681	Discounted cash flow	Discount rate	1.0% - 3.4% (2.1%)
				CPR	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%)
				CPR	0% - 26% (10%)
Liabilities:
Financial Derivatives:
Basis swaps	$	691	Discounted cash flow	Discount rate	1.0% - 3.0% (1.7%)
				CPR	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 June 30, 2013 and December 31, 2012:

Table 8.4

	June 30, 2013				December 31, 2012
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	650,723	$	650,723	$	785,564	$	785,564
Investment securities	2,456,916		2,456,916		2,499,629		2,499,629
Farmer Mac Guaranteed Securities	5,058,853		5,058,853		4,766,258		4,766,258
USDA Guaranteed Securities	1,617,356		1,617,356		1,590,783		1,590,783
Loans	2,936,726		2,949,165		2,746,742		2,729,774
Financial derivatives	23,164		23,164		31,173		31,173
Guarantee and commitment fees receivable:
LTSPCs	31,621		25,404		27,805		22,863
Farmer Mac Guaranteed Securities	19,385		17,670		20,432		18,926
Financial liabilities:
Notes payable:
Due within one year	6,781,622		6,785,164		6,573,013		6,567,366
Due after one year	5,228,932		5,173,667		5,202,751		5,034,739
Debt securities of consolidated trusts held by third parties	167,892		168,488		164,910		167,621
Financial derivatives	99,063		99,063		150,682		150,682
Guarantee and commitment obligations:
LTSPCs	30,722		24,504		26,896		21,954
Farmer Mac Guaranteed Securities	16,240		14,523		17,354		15,849

[1] Includes unrealized losses of $0.1 million attributable to assets still held as of June 30, 2013 that are recorded in "Losses on trading assets.

[2] Unrealized gains are attributable to liabilities still held as of June 30, 2012 and are recorded in "Gains/(losses) on financial derivatives and hedging activities.

[3] Unrealized gains are attributable to assets still held as of June 30, 2013 and are recorded in "Losses on trading assets

[4] Unrealized gains are attributable to assets still held as of June 30, 2012 and are recorded in "Losses on trading assets

[5] Includes unrealized losses of $1.6 million attributable to assets still held as of June 30, 2012 that are recorded in "Losses on trading assets.

[6] Unrealized gains are attributable to liabilities still held as of June 30, 2013 and are recorded in "Gains/(losses) on financial derivatives and hedging activities.