Fair Value Disclosures - Fair Value Disclosures (Tables)

3 Months Ended

Mar. 31, 2015

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 March 31, 2015 and December 31, 2014, 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 March 31, 2015
	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	$	—	$	—	$	40,379	$	40,379
Floating rate asset-backed securities	—		100,132		—		100,132
Floating rate corporate debt securities	—		10,085		—		10,085
Fixed rate corporate debt securities	—		20,030		—		20,030
Floating rate Government/GSE guaranteed mortgage-backed securities	—		734,572		—		734,572
Fixed rate GSE guaranteed mortgage-backed securities	—		8,129		—		8,129
Floating rate GSE subordinated debt	—		65,841		—		65,841
Fixed rate senior agency debt	—		297,727		—		297,727
Fixed rate U.S. Treasuries	862,649		—		—		862,649
Total available-for-sale	862,649		1,236,516		40,379		2,139,544
Trading:
Floating rate asset-backed securities	—		—		638		638
Total trading	—		—		638		638
Total Investment Securities	862,649		1,236,516		41,017		2,140,182
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		3,818,704		3,818,704
Farmer Mac Guaranteed USDA Securities	—		—		23,505		23,505
Total Farmer Mac Guaranteed Securities	—		—		3,842,209		3,842,209
USDA Securities:
Available-for-sale	—		—		1,794,844		1,794,844
Trading	—		—		37,593		37,593
Total USDA Securities	—		—		1,832,437		1,832,437
Financial derivatives	—		4,808		—		4,808
Total Assets at fair value	$	862,649	$	1,241,324	$	5,715,663	$	7,819,636
Liabilities:
Financial derivatives	5		95,488		—		95,493
Total Liabilities at fair value	$	5	$	95,488	$	—	$	95,493
Nonrecurring:
Assets:
Loans held for investment	$	—	$	—	$	6,376	$	6,376
Total Nonrecurring Assets at fair value	$	—	$	—	$	6,376	$	6,376



Assets and Liabilities Measured at Fair Value as of December 31, 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	$	—	$	—	$	40,576	$	40,576
Floating rate asset-backed securities	—		100,902		—		100,902
Floating rate corporate debt securities	—		10,091		—		10,091
Fixed rate corporate debt	—		30,025		—		30,025
Floating rate Government/GSE guaranteed mortgage-backed securities	—		612,753		—		612,753
Fixed rate GSE guaranteed mortgage-backed securities	—		8,202		—		8,202
Floating rate GSE subordinated debt	—		66,320		—		66,320
Fixed rate senior agency debt	—		18,939		—		18,939
Floating rate U.S. Treasuries	74,979		—		—		74,979
Fixed rate U.S. Treasuries	975,712		—		—		975,712
Total available-for-sale	1,050,691		847,232		40,576		1,938,499
Trading:
Floating rate asset-backed securities	—		—		689		689
Total trading	—		—		689		689
Total Investment Securities	1,050,691		847,232		41,265		1,939,188
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		3,631,662		3,631,662
Farmer Mac Guaranteed USDA Securities	—		—		27,619		27,619
Total Farmer Mac Guaranteed Securities	—		—		3,659,281		3,659,281
USDA Guaranteed Securities:
Available-for-sale	—		—		1,731,222		1,731,222
Trading	—		—		40,310		40,310
Total USDA Guaranteed Securities	—		—		1,771,532		1,771,532
Financial derivatives	—		4,177		—		4,177
Total Assets at fair value	$	1,050,691	$	851,409	$	5,472,078	$	7,374,178
Liabilities:
Financial derivatives	3		84,841		—		84,844
Total Liabilities at fair value	$	3	$	84,841	$	—	$	84,844
Nonrecurring:
Assets:
Loans held for investment	$	—	$	—	$	5,973	$	5,973
Total Nonrecurring Assets at fair value	$	—	$	—	$	5,973	$	5,973

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 March 31, 2015.

Table 8.2



Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended March 31, 2015
	Beginning Balance		Purchases		Sales		Settlements			Realized and Unrealized Gains 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	$	40,576	$	—	$	—	$	—		$	—	$	(197	)	$	—	$	40,379
Total available-for-sale	40,576		—		—		—			—		(197		)	—		40,379
Trading:
Floating rate asset-backed securities⁽¹⁾	689		—		—		(247		)	196		—			—		638
Total trading	689		—		—		(247		)	196		—			—		638
Total Investment Securities	41,265		—		—		(247		)	196		(197		)	—		41,017
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	3,631,662		214,915		—		(57,753		)	8,877		21,003			—		3,818,704
Farmer Mac Guaranteed USDA Securities	27,619		—		—		(4,652		)	—		538			—		23,505
Total Farmer Mac Guaranteed Securities	3,659,281		214,915		—		(62,405		)	8,877		21,541			—		3,842,209
USDA Securities:
Available-for-sale	1,731,222		89,186		—		(64,191		)	—		38,627			—		1,794,844
Trading⁽²⁾	40,310		—		—		(2,883		)	166		—			—		37,593
Total USDA Securities	1,771,532		89,186		—		(67,074		)	166		38,627			—		1,832,437
Total Assets at fair value	$	5,472,078	$	304,101	$	—	$	(129,726	)	$	9,239	$	59,971		$	—	$	5,715,663


⁽¹⁾	Unrealized gains are attributable to assets still held as of March 31, 2015 and are recorded in "Gains on trading securities."


⁽²⁾	Includes unrealized gains of $0.2 million attributable to assets still held as of March 31, 2015 that are recorded in "Gains on trading securities."



Level 3 Assets and Liabilities Measured at Fair Value for the the Three Months Ended March 31, 2014
	Beginning Balance			Purchases		Sales		Settlements			Realized and Unrealized Gains 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		$	—	$	—	$	—		$	—	$	(322	)	$	—		$	64,963
Floating rate Government/GSE guaranteed mortgage-backed securities	205			—		—		(4		)	—		2			—			203
Total available-for-sale	65,490			—		—		(4		)	—		(320		)	—			65,166
Trading:
Floating rate asset-backed securities⁽¹⁾	928			—		—		(283		)	278		—			—			923
Total trading	928			—		—		(283		)	278		—			—			923
Total Investment Securities	66,418			—		—		(287		)	278		(320		)	—			66,089
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	5,070,366			170,000		—		(176,269		)	2,750		12,894			(1,612,086		)	3,467,655
Farmer Mac Guaranteed USDA Securities	21,234			—		—		(171		)	—		545			—			21,608
Total Farmer Mac Guaranteed Securities	5,091,600			170,000		—		(176,440		)	2,750		13,439			(1,612,086		)	3,489,263
USDA Securities:
Available-for-sale	1,553,669			67,984		—		(60,455		)	—		39,461			—			1,600,659
Trading⁽²⁾	58,344			—		—		(7,619		)	377		—			—			51,102
Total USDA Securities	1,612,013			67,984		—		(68,074		)	377		39,461			—			1,651,761
Total Assets at fair value	$	6,770,031		$	237,984	$	—	$	(244,801	)	$	3,405	$	52,580		$	(1,612,086	)	$	5,207,113
Liabilities:
Financial derivatives⁽³⁾	$	(235	)	$	—	$	—	$	—		$	74	$	—		$	—		$	(161	)
Total Liabilities at fair value	$	(235	)	$	—	$	—	$	—		$	74	$	—		$	—		$	(161	)


⁽¹⁾	Unrealized gains are attributable to assets still held as of March 31, 2014 and are recorded in "Gains on trading securities."


⁽²⁾	Includes unrealized losses of $0.7 million attributable to assets still held as of March 31, 2014 that are recorded in "Gains on trading securities."


⁽³⁾	Unrealized gains are attributable to liabilities still held as of March 31, 2014 and are recorded in "Losses on financial derivatives and hedging activities."

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 March 31, 2015 and December 31, 2014.

Table 8.3



	As of March 31, 2015
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	$	40,379	Indicative bids	Range of broker quotes	82.0% - 93.0% (86.7%)
Floating rate asset-backed securities	$	638	Discounted cash flow	Discount rate	14.5% - 23.5% (19.1%)
				CPR	10%
Farmer Mac Guaranteed Securities:
AgVantage	$	3,818,704	Discounted cash flow	Discount rate	0.9% - 2.7% (1.4%)
Farmer Mac Guaranteed USDA Securities	$	23,505	Discounted cash flow	Discount rate	1.0% - 4.0% (1.8%)
				CPR	9% - 22% (11%)
USDA Securities	$	1,832,437	Discounted cash flow	Discount rate	1.1% - 5.2% (3.1%)
				CPR	0% - 20% (9%)



	As of December 31, 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	$	40,576	Indicative bids	Range of broker quotes	82.0% - 94.0% (87.1%)
Floating rate asset-backed securities	$	689	Discounted cash flow	Discount rate	14.3% - 23.9% (19.1%)
				CPR	10%
Farmer Mac Guaranteed Securities:
AgVantage	$	3,631,662	Discounted cash flow	Discount rate	0.7% - 2.7% (1.3%)
Farmer Mac Guaranteed USDA Securities	$	27,619	Discounted cash flow	Discount rate	0.8% - 3.6% (1.9%)
				CPR	0% - 21% (9%)
USDA Securities	$	1,771,532	Discounted cash flow	Discount rate	1.1% - 5.3% (3.2%)
				CPR	0% - 20% (8%)

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

The following table sets forth the estimated fair values and carrying values for financial assets, liabilities, and guarantees and commitments as of March 31, 2015 and December 31, 2014:

Table 8.4



	As of March 31, 2015				As of December 31, 2014
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	1,556,246	$	1,556,246	$	1,363,387	$	1,363,387
Investment securities	2,140,182		2,140,182		1,939,188		1,939,188
Farmer Mac Guaranteed Securities	5,625,285		5,609,305		5,459,857		5,453,901
USDA Securities	1,832,437		1,832,437		1,771,532		1,771,532
Loans	3,626,473		3,533,555		3,547,424		3,520,075
Financial derivatives	4,808		4,808		4,177		4,177
Guarantee and commitment fees receivable:
LTSPCs	27,153		27,071		29,095		27,807
Farmer Mac Guaranteed Securities	11,080		11,271		11,876		11,655
Financial liabilities:
Notes payable:
Due within one year	7,960,289		7,957,193		7,357,770		7,353,953
Due after one year	5,767,568		5,648,752		5,556,570		5,471,186
Debt securities of consolidated trusts held by third parties	467,186		457,903		423,085		424,214
Financial derivatives	95,493		95,493		84,844		84,844
Guarantee and commitment obligations:
LTSPCs	26,254		26,171		28,130		26,843
Farmer Mac Guaranteed Securities	10,174		10,366		11,303		11,082

The carrying value of cash and cash equivalents is a reasonable estimate of their approximate fair value and is classified as level 1 within the fair value hierarchy. Investment securities primarily are valued based on unadjusted quoted prices in active markets and are classified as level 2 within the fair value hierarchy. Farmer Mac internally models the fair value of its loan portfolio, including loans held for sale, loans held for investment and loans held for investment in consolidated trusts, Farmer Mac Guaranteed Securities, and USDA Securities by discounting the projected cash flows of these instruments at projected interest rates. The fair values are based on the present value of expected cash flows using management's best estimate of certain key assumptions, which include prepayment speeds, forward yield curves and discount rates commensurate with the risks involved. These fair value measurements do not take into consideration the fair value of the underlying property and are classified as level 3 within the fair value hierarchy. Financial derivatives primarily are valued using unadjusted counterparty valuations and are classified as level 2 within the fair value hierarchy. The fair value of the guarantee fees receivable/obligation and debt securities of consolidated trusts are estimated based on the present value of expected future cash flows of the underlying mortgage assets using management's best estimate of certain key assumptions, which include prepayments speeds, forward yield curves, and discount rates commensurate with the risks involved and are classified as level 3 within the fair value hierarchy. Notes payable are valued by discounting the expected cash flows of these instruments using a yield curve derived from market prices observed for similar agency securities and are also classified as level 3 within the fair value hierarchy. Because the cash flows of Farmer Mac's financial instruments may be interest rate path dependent, estimated fair values and projected discount rates for level 3 financial instruments are derived using a Monte Carlo simulation model. Different market assumptions and estimation methodologies could significantly affect estimated fair value amounts.

- 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.

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- 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.

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- 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.

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