Fair Value Disclosures - (Tables)

9 Months Ended

Sep. 30, 2014

Fair Value Measurements, Recurring and Nonrecurring [Table Text Block]

The following tables present information about Farmer Mac's assets and liabilities measured at fair value on a recurring and nonrecurring basis as of September 30, 2014 and December 31, 2013, 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 September 30, 2014
	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	$	—	$	—	$	40,774	$	40,774
Floating rate asset-backed securities	—		108,325		—		108,325
Floating rate corporate debt securities	—		10,126		—		10,126
Fixed rate corporate debt securities	—		30,081		—		30,081
Floating rate Government/GSE guaranteed mortgage-backed securities	—		635,651		187		635,838
Fixed rate GSE guaranteed mortgage-backed securities	—		8,271		—		8,271
Floating rate GSE subordinated debt	—		63,385		—		63,385
Fixed rate GSE preferred stock	—		78,500		—		78,500
Fixed rate taxable municipal bonds	—		3,963		—		3,963
Floating rate U.S. Treasuries	75,015		—		—		75,015
Fixed rate U.S. Treasuries	930,705		—		—		930,705
Total available-for-sale	1,005,720		938,302		40,961		1,984,983
Trading:
Floating rate asset-backed securities	—		—		777		777
Total trading	—		—		777		777
Total Investment Securities	1,005,720		938,302		41,738		1,985,760
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		3,336,326		3,336,326
Farmer Mac Guaranteed USDA Securities	—		—		20,449		20,449
Total Farmer Mac Guaranteed Securities	—		—		3,356,775		3,356,775
USDA Securities:
Available-for-sale	—		—		1,687,881		1,687,881
Trading	—		—		42,964		42,964
Total USDA Securities	—		—		1,730,845		1,730,845
Financial derivatives	—		5,743		—		5,743
Total Assets at fair value	$	1,005,720	$	944,045	$	5,129,358	$	7,079,123
Liabilities:
Securities sold, not yet purchased
Fixed rate U.S. Treasuries	$	1,657,901	$	—	$	—	$	1,657,901
Financial derivatives	21		69,974		—		69,995
Total Liabilities at fair value	$	1,657,922	$	69,974	$	—	$	1,727,896
Nonrecurring:
Assets:
Loans held for investment	$	—	$	—	$	5,304	$	5,304
REO	—		—		762		762
Total Nonrecurring Assets at fair value	$	—	$	—	$	6,066	$	6,066



Assets and Liabilities Measured at Fair Value as of December 31, 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	$	—	$	—	$	65,285	$	65,285
Floating rate asset-backed securities	—		166,104		—		166,104
Floating rate corporate debt securities	—		109,769		—		109,769
Fixed rate corporate debt	—		55,141		—		55,141
Floating rate Government/GSE guaranteed mortgage-backed securities	—		621,064		205		621,269
Fixed rate GSE guaranteed mortgage-backed securities	—		8,657		—		8,657
Floating rate GSE subordinated debt	—		63,385		—		63,385
Fixed rate GSE preferred stock	—		83,161		—		83,161
Fixed rate taxable municipal bonds	—		30,681		—		30,681
Fixed rate senior agency debt	—		524,062		—		524,062
Fixed rate U.S. Treasuries	755,633		—		—		755,633
Total available-for-sale	755,633		1,662,024		65,490		2,483,147
Trading:
Floating rate asset-backed securities	—		—		928		928
Total trading	—		—		928		928
Total Investment Securities	755,633		1,662,024		66,418		2,484,075
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		5,070,366		5,070,366
Farmer Mac Guaranteed USDA Securities	—		—		21,234		21,234
Total Farmer Mac Guaranteed Securities	—		—		5,091,600		5,091,600
USDA Securities:
Available-for-sale	—		—		1,553,669		1,553,669
Trading	—		—		58,344		58,344
Total USDA Securities	—		—		1,612,013		1,612,013
Financial derivatives	—		19,718		—		19,718
Total Assets at fair value	$	755,633	$	1,681,742	$	6,770,031	$	9,207,406
Liabilities:
Financial derivatives	$	1	$	75,472	$	235	$	75,708
Total Liabilities at fair value	$	1	$	75,472	$	235	$	75,708
Nonrecurring:
Assets:
Loans held for investment	$	—	$	—	$	4,420	$	4,420
REO	—		—		1,818		1,818
Total Nonrecurring Assets at fair value	$	—	$	—	$	6,238	$	6,238

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. There were no liabilities measured at fair value using significant unobservable inputs during the three months ended September 30, 2014.

Table 8.2



Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended September 30, 2014
	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	$	54,976	$	—	$	(14,550	)	$	—		$	(450	)	$	798		$	40,774
Floating rate Government/GSE guaranteed mortgage-backed securities	195		—		—			(7		)	—			(1		)	187
Total available-for-sale	55,171		—		(14,550		)	(7		)	(450		)	797			40,961
Trading:
Floating rate asset-backed securities (1)	880		—		—			(127		)	24			—			777
Total trading	880		—		—			(127		)	24			—			777
Total Investment Securities	56,051		—		(14,550		)	(134		)	(426		)	797			41,738
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	3,416,512		295,700		—			(382,630		)	(2,549		)	9,293			3,336,326
Farmer Mac Guaranteed USDA Securities	21,044		—		—			(200		)	—			(395		)	20,449
Total Farmer Mac Guaranteed Securities	3,437,556		295,700		—			(382,830		)	(2,549		)	8,898			3,356,775
USDA Securities:
Available-for-sale	1,636,930		97,275		—			(42,821		)	—			(3,503		)	1,687,881
Trading (2)	46,099		—		—			(3,079		)	(56		)	—			42,964
Total USDA Securities	1,683,029		97,275		—			(45,900		)	(56		)	(3,503		)	1,730,845
Total Assets at fair value	$	5,176,636	$	392,975	$	(14,550	)	$	(428,864	)	$	(3,031	)	$	6,192		$	5,129,358


(1)	Unrealized gains are attributable to assets still held as of September 30, 2014 and are recorded in "Gains/(losses) on trading securities."


(2)	Includes immaterial unrealized gains attributable to assets still held as of September 30, 2014 that are recorded in "Gains/(losses) on trading securities."



Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended September 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	$	65,088		$	—	$	—	$	—		$	—		$	—		$	65,088
Floating rate Government/GSE guaranteed mortgage-backed securities	222			—		—		(8		)	—			—			214
Total available-for-sale	65,310			—		—		(8		)	—			—			65,302
Trading:
Floating rate asset-backed securities (1)	1,064			—		—		(156		)	69			—			977
Total trading	1,064			—		—		(156		)	69			—			977
Total Investment Securities	66,374			—		—		(164		)	69			—			66,279
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	5,033,059			353,500		—		(258,522		)	2,996			(17,985		)	5,113,048
Farmer Mac Guaranteed USDA Securities	25,794			—		—		(414		)	—			328			25,708
Total Farmer Mac Guaranteed Securities	5,058,853			353,500		—		(258,936		)	2,996			(17,657		)	5,138,756
USDA Securities:
Available-for-sale	1,543,764			70,372		—		(48,380		)	—			935			1,566,691
Trading (2)	73,592			—		—		(10,578		)	(695		)	—			62,319
Total USDA Securities	1,617,356			70,372		—		(58,958		)	(695		)	935			1,629,010
Total Assets at fair value	$	6,742,583		$	423,872	$	—	$	(318,058	)	$	2,370		$	(16,722	)	$	6,834,045
Liabilities:
Financial derivatives (3)	$	(390	)	$	—	$	—	$	—		$	61		$	—		$	(329	)
Total Liabilities at fair value	$	(390	)	$	—	$	—	$	—		$	61		$	—		$	(329	)


(1)	Unrealized gains are attributable to assets still held as of September 30, 2013 and are recorded in "Gains/(losses) on trading securities."


(2)	Includes unrealized losses of $0.4 million attributable to assets still held as of September 30, 2013 that are recorded in "Gains/(losses) on trading securities."


(3)	Unrealized gains are attributable to liabilities still held as of September 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 Nine Months Ended September 30, 2014
	Beginning Balance			Purchases		Sales			Settlements			Realized and Unrealized Gains/(Losses) included in Income			Unrealized Gains/(Losses) included in Other Comprehen-sive Income			Transfers Out			Ending Balance
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	65,285		$	—	$	(26,675	)	$	—		$	(825	)	$	2,989		$	—		$	40,774
Floating rate Government/GSE guaranteed mortgage-backed securities	205			—		—			(18		)	—			—			—			187
Total available-for-sale	65,490			—		(26,675		)	(18		)	(825		)	2,989			—			40,961
Trading:
Floating rate asset-backed securities (1)	928			—		—			(541		)	390			—			—			777
Total trading	928			—		—			(541		)	390			—			—			777
Total Investment Securities	66,418			—		(26,675		)	(559		)	(435		)	2,989			—			41,738
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	5,070,366			761,475		—			(915,218		)	4,019			27,770			(1,612,086		)	3,336,326
Farmer Mac Guaranteed USDA Securities	21,234			—		—			(562		)	—			(223		)	—			20,449
Total Farmer Mac Guaranteed Securities	5,091,600			761,475		—			(915,780		)	4,019			27,547			(1,612,086		)	3,356,775
USDA Securities:
Available-for-sale	1,553,669			256,044		—			(162,917		)	—			41,085			—			1,687,881
Trading (2)	58,344			—		—			(15,541		)	161			—			—			42,964
Total USDA Securities	1,612,013			256,044		—			(178,458		)	161			41,085			—			1,730,845
Total Assets at fair value	$	6,770,031		$	1,017,519	$	(26,675	)	$	(1,094,797	)	$	3,745		$	71,621		$	(1,612,086	)	$	5,129,358
Liabilities:
Financial derivatives	$	(235	)	$	—	$	—		$	—		$	235		$	—		$	—		$	—
Total Liabilities at fair value	$	(235	)	$	—	$	—		$	—		$	235		$	—		$	—		$	—


(1)	Unrealized gains are attributable to assets still held as of September 30, 2014 and are recorded in "Gains/(losses) on trading securities."


(2)	Includes unrealized gains of $0.7 million attributable to assets still held as of September 30, 2014 that are recorded in "Gains/(losses) on trading securities."



Level 3 Assets and Liabilities Measured at Fair Value for the Nine Months Ended September 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		—		(17		)	—			(2		)	214
Total available-for-sale	63,159			233		—		(17		)	—			1,927			65,302
Trading:
Floating rate asset-backed securities (1)	1,247			—		—		(656		)	386			—			977
Total trading	1,247			—		—		(656		)	386			—			977
Total Investment Securities	64,406			233		—		(673		)	386			1,927			66,279
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	4,739,577			978,500		—		(542,974		)	(14,872		)	(47,183		)	5,113,048
Farmer Mac Guaranteed USDA Securities	26,681			—		—		(1,312		)	—			339			25,708
Total Farmer Mac Guaranteed Securities	4,766,258			978,500		—		(544,286		)	(14,872		)	(46,844		)	5,138,756
USDA Securities:
Available-for-sale	1,486,595			303,456		—		(193,946		)	—			(29,414		)	1,566,691
Trading (2)	104,188			—		—		(40,740		)	(1,129		)	—			62,319
Total USDA Securities	1,590,783			303,456		—		(234,686		)	(1,129		)	(29,414		)	1,629,010
Total Assets at fair value	$	6,421,447		$	1,282,189	$	—	$	(779,645	)	$	(15,615	)	$	(74,331	)	$	6,834,045
Liabilities:
Financial derivatives (3)	$	(691	)	$	—	$	—	$	—		$	362		$	—		$	(329	)
Total Liabilities at fair value	$	(691	)	$	—	$	—	$	—		$	362		$	—		$	(329	)


(1)	Unrealized gains are attributable to assets still held as of September 30, 2013 and are recorded in "Gains/(losses) on trading securities."


(2)	Includes unrealized losses of $0.5 million attributable to assets still held as of September 30, 2013 that are recorded in "Gains/(losses) on trading securities."


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

^[1],[2],[3]

Fair Value Inputs, Assets and Liabilities, Quantitative Information [Table Text Block]

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 September 30, 2014 and December 31, 2013.

Table 8.3



	As of September 30, 2014
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	$	40,774	Indicative bids	Range of broker quotes	82.0% - 95.0% (87.5%)
Floating rate asset-backed securities	$	777	Discounted cash flow	Discount rate	13.2% - 22.8% (18.0%)
				CPR	10%
Floating rate Government/GSE guaranteed mortgage-backed securities	$	187	Discounted cash flow	Discount rate	1.8% - 1.8% (1.8%)
				CPR	7%
Farmer Mac Guaranteed Securities:
AgVantage	$	3,336,326	Discounted cash flow	Discount rate	0.7% - 2.8% (1.4%)
Farmer Mac Guaranteed USDA Securities	$	20,449	Discounted cash flow	Discount rate	0.8% - 3.3% (2.0%)
				CPR	8% - 16% (12%)
USDA Securities	$	1,730,845	Discounted cash flow	Discount rate	1.1% - 5.3% (3.2%)
				CPR	0% - 18% (7%)



	As of December 31, 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	$	65,285	Indicative bids	Range of broker quotes	82.0% - 92.0% (88.1%)
Floating rate asset-backed securities	$	928	Discounted cash flow	Discount rate	13.0% - 22.5% (17.7%)
				CPR	10%
Floating rate Government/GSE guaranteed mortgage-backed securities	$	205	Discounted cash flow	Discount rate	1.8% - 1.8% (1.8%)
				CPR	6%
Farmer Mac Guaranteed Securities:
AgVantage	$	5,070,366	Discounted cash flow	Discount rate	0.9% - 3.6% (1.8%)
Farmer Mac Guaranteed USDA Securities	$	21,234	Discounted cash flow	Discount rate	0.9% - 3.2% (1.9%)
				CPR	7% - 14% (11%)
USDA Securities	$	1,612,013	Discounted cash flow	Discount rate	1.2% - 5.3% (3.4%)
				CPR	0% - 23% (5%)
Liabilities:
Financial Derivatives:
Basis swaps	$	235	Discounted cash flow	Discount rate	0.7% - 2.3% (1.3%)
				CPR	10% - 11% (10%)

Fair Value, by Balance Sheet Grouping [Table Text Block]

Disclosures on Fair Value of Financial Instruments

The following table sets forth the estimated fair values and carrying values for financial assets, liabilities, and guarantees and commitments as of September 30, 2014 and December 31, 2013:

Table 8.4



	As of September 30, 2014				As of December 31, 2013
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	627,670	$	627,670	$	749,313	$	749,313
Securities purchased under agreements to resell	1,630,078		1,630,427		—		—
Investment securities	1,985,078		1,985,760		2,484,075		2,484,075
Farmer Mac Guaranteed Securities	5,013,038		5,009,406		5,091,600		5,091,600
USDA Securities	1,730,845		1,730,845		1,612,013		1,612,013
Loans	3,372,470		3,353,345		3,138,932		3,193,248
Financial derivatives	5,743		5,743		19,718		19,718
Guarantee and commitment fees receivable:
LTSPCs	30,664		28,065		33,807		27,244
Farmer Mac Guaranteed Securities	14,563		14,013		18,470		16,660
Financial liabilities:
Notes payable:
Due within one year	6,341,896		6,332,887		7,353,356		7,338,781
Due after one year	5,237,130		5,186,393		4,977,942		5,001,169
Securities sold, not yet purchased	1,657,901		1,657,901		—		—
Debt securities of consolidated trusts held by third parties	398,445		400,012		257,512		261,760
Financial derivatives	69,995		69,995		75,708		75,708
Guarantee and commitment obligations:
LTSPCs	29,701		27,102		32,856		26,293
Farmer Mac Guaranteed Securities	12,404		11,855		15,185		13,374

[1]	{F\|ahBzfndlYmZpbGluZ3MtaHJkcmoLEgZYTUxEb2MiXlhCUkxEb2NHZW5JbmZvOmE0YTcwMGFlNWM1ZTQxZDk4Y2JiMjRkYTQwZjcyOWYyfFRleHRTZWxlY3Rpb246MzA0NTM0NjAzNzgwNUQxMUEwMUUwMjBGOEU1RUE2NzMM}
[2]	{F\|ahBzfndlYmZpbGluZ3MtaHJkcmoLEgZYTUxEb2MiXlhCUkxEb2NHZW5JbmZvOmE0YTcwMGFlNWM1ZTQxZDk4Y2JiMjRkYTQwZjcyOWYyfFRleHRTZWxlY3Rpb246NDJFMkIwMTUyOTNBNTdDNkI2ODZEQUM5OEYxMjk3OUQM}
[3]	{F\|ahBzfndlYmZpbGluZ3MtaHJkcmoLEgZYTUxEb2MiXlhCUkxEb2NHZW5JbmZvOmE0YTcwMGFlNWM1ZTQxZDk4Y2JiMjRkYTQwZjcyOWYyfFRleHRTZWxlY3Rpb246QkQwRDEzMzA0NkUwNUEwQkE2MEY0Qzg1RjUzM0JFRkMM}

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References+ Details

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References+ Details

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References+ Details