Fair Value Disclosures - Fair Value Disclosures (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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 June 30, 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	$	—	$	—	$	40,182	$	40,182
Floating rate asset-backed securities	—		91,178		—		91,178
Floating rate corporate debt securities	—		10,060		—		10,060
Fixed rate corporate debt securities	—		14,985		—		14,985
Floating rate Government/GSE guaranteed mortgage-backed securities	—		711,060		—		711,060
Fixed rate GSE guaranteed mortgage-backed securities	—		8,047		—		8,047
Floating rate GSE subordinated debt	—		65,972		—		65,972
Fixed rate senior agency debt	—		297,845		—		297,845
Fixed rate U.S. Treasuries	612,570		—		—		612,570
Total available-for-sale	612,570		1,199,147		40,182		1,851,899
Trading:
Floating rate asset-backed securities	—		—		606		606
Total trading	—		—		606		606
Total Investment Securities	612,570		1,199,147		40,788		1,852,505
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		4,016,200		4,016,200
Farmer Mac Guaranteed USDA Securities	—		—		35,008		35,008
Total Farmer Mac Guaranteed Securities	—		—		4,051,208		4,051,208
USDA Securities:
Available-for-sale	—		—		1,825,406		1,825,406
Trading	—		—		33,770		33,770
Total USDA Securities	—		—		1,859,176		1,859,176
Financial derivatives	—		7,455		—		7,455
Total Assets at fair value	$	612,570	$	1,206,602	$	5,951,172	$	7,770,344
Liabilities:
Financial derivatives	$	58	$	69,315	$	—	$	69,373
Total Liabilities at fair value	$	58	$	69,315	$	—	$	69,373
Nonrecurring:
Assets:
Loans held for investment	$	—	$	—	$	10,125	$	10,125
Total Nonrecurring Assets at fair value	$	—	$	—	$	10,125	$	10,125



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 June 30, 2015.

Table 8.2



Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended June 30, 2015
	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	$	40,379	$	—	$	—	$	—		$	—		$	(197	)	$	40,182
Total available-for-sale	40,379		—		—		—			—			(197		)	40,182
Trading:
Floating rate asset-backed securities (1)	638		—		—		(190		)	158			—			606
Total trading	638		—		—		(190		)	158			—			606
Total Investment Securities	41,017		—		—		(190		)	158			(197		)	40,788
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	3,818,704		249,260		—		(9,245		)	(11,354		)	(31,165		)	4,016,200
Farmer Mac Guaranteed USDA Securities	23,505		12,512		—		(1,766		)	—			757			35,008
Total Farmer Mac Guaranteed Securities	3,842,209		261,772		—		(11,011		)	(11,354		)	(30,408		)	4,051,208
USDA Securities:
Available-for-sale	1,794,844		111,421		—		(69,192		)	—			(11,667		)	1,825,406
Trading (2)	37,593		—		—		(3,834		)	11			—			33,770
Total USDA Securities	1,832,437		111,421		—		(73,026		)	11			(11,667		)	1,859,176
Total Assets at fair value	$	5,715,663	$	373,193	$	—	$	(84,227	)	$	(11,185	)	$	(42,272	)	$	5,951,172


(1)	Unrealized gains are attributable to assets still held as of June 30, 2015 and are recorded in "Gains on trading securities."


(2)	Includes unrealized gains of $0.1 million attributable to assets still held as of June 30, 2015 that are recorded in "Gains on trading securities."



Level 3 Assets and Liabilities Measured at Fair Value for the the Three Months Ended June 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	$	64,963		$	—	$	(12,125	)	$	—		$	(375	)	$	2,513		$	54,976
Floating rate Government/GSE guaranteed mortgage-backed securities	203			—		—			(7		)	—			(1		)	195
Total available-for-sale	65,166			—		(12,125		)	(7		)	(375		)	2,512			55,171
Trading:
Floating rate asset-backed securities⁽¹⁾	923			—		—			(131		)	88			—			880
Total trading	923			—		—			(131		)	88			—			880
Total Investment Securities	66,089			—		(12,125		)	(138		)	(287		)	2,512			56,051
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	3,467,655			295,775		—			(356,319		)	3,818			5,583			3,416,512
Farmer Mac Guaranteed USDA Securities	21,608			—		—			(191		)	—			(373		)	21,044
Total Farmer Mac Guaranteed Securities	3,489,263			295,775		—			(356,510		)	3,818			5,210			3,437,556
USDA Securities:
Available-for-sale	1,600,659			90,785		—			(59,640		)	—			5,126			1,636,930
Trading⁽²⁾	51,102			—		—			(4,843		)	(160		)	—			46,099
Total USDA Securities	1,651,761			90,785		—			(64,483		)	(160		)	5,126			1,683,029
Total Assets at fair value	$	5,207,113		$	386,560	$	(12,125	)	$	(421,131	)	$	3,371		$	12,848		$	5,176,636
Liabilities:
Financial derivatives	$	(161	)	$	—	$	—		$	—		$	161		$	—		$	—
Total Liabilities at fair value	$	(161	)	$	—	$	—		$	—		$	161		$	—		$	—


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


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



Level 3 Assets and Liabilities Measured at Fair Value for the the Six Months Ended June 30, 2015
	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	$	40,576	$	—	$	—	$	—		$	—		$	(394	)	$	40,182
Total available-for-sale	40,576		—		—		—			—			(394		)	40,182
Trading:
Floating rate asset-backed securities⁽¹⁾	689		—		—		(437		)	354			—			606
Total trading	689		—		—		(437		)	354			—			606
Total Investment Securities	41,265		—		—		(437		)	354			(394		)	40,788
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	3,631,662		464,175		—		(66,997		)	(2,478		)	(10,162		)	4,016,200
Farmer Mac Guaranteed USDA Securities	27,619		12,512		—		(6,418		)	—			1,295			35,008
Total Farmer Mac Guaranteed Securities	3,659,281		476,687		—		(73,415		)	(2,478		)	(8,867		)	4,051,208
USDA Securities:
Available-for-sale	1,731,222		200,607		—		(133,383		)	—			26,960			1,825,406
Trading⁽²⁾	40,310		—		—		(6,717		)	177			—			33,770
Total USDA Securities	1,771,532		200,607		—		(140,100		)	177			26,960			1,859,176
Total Assets at fair value	$	5,472,078	$	677,294	$	—	$	(213,952	)	$	(1,947	)	$	17,699		$	5,951,172


(1)	Unrealized gains are attributable to assets still held as of June 30, 2015 and are recorded in "Gains on trading securities."


(2)	Includes unrealized gains of $0.2 million attributable to assets still held as of June 30, 2015 that are recorded in "Gains on trading securities."



Level 3 Assets and Liabilities Measured at Fair Value for the Six Months Ended June 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		$	—	$	(12,125	)	$	—		$	(375	)	$	2,191	$	—		$	54,976
Floating rate Government/GSE guaranteed mortgage-backed securities	205			—		—			(11		)	—			1		—			195
Total available-for-sale	65,490			—		(12,125		)	(11		)	(375		)	2,192		—			55,171
Trading:
Floating rate asset-backed securities⁽¹⁾	928			—		—			(414		)	366			—		—			880
Total trading	928			—		—			(414		)	366			—		—			880
Total Investment Securities	66,418			—		(12,125		)	(425		)	(9		)	2,192		—			56,051
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	5,070,366			465,775		—			(532,588		)	6,568			18,477		(1,612,086		)	3,416,512
Farmer Mac Guaranteed USDA Securities	21,234			—		—			(362		)	—			172		—			21,044
Total Farmer Mac Guaranteed Securities	5,091,600			465,775		—			(532,950		)	6,568			18,649		(1,612,086		)	3,437,556
USDA Securities:
Available-for-sale	1,553,669			158,769		—			(120,095		)	—			44,587		—			1,636,930
Trading⁽²⁾	58,344			—		—			(12,462		)	217			—		—			46,099
Total USDA Securities	1,612,013			158,769		—			(132,557		)	217			44,587		—			1,683,029
Total Assets at fair value	$	6,770,031		$	624,544	$	(12,125	)	$	(665,932	)	$	6,776		$	65,428	$	(1,612,086	)	$	5,176,636
Liabilities:
Financial derivatives	$	(235	)	$	—	$	—		$	—		$	235		$	—	$	—		$	—
Total Liabilities at fair value	$	(235	)	$	—	$	—		$	—		$	235		$	—	$	—		$	—


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


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

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 June 30, 2015 and December 31, 2014.

Table 8.3



	As of June 30, 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	$	40,182	Indicative bids	Range of broker quotes	82.0% - 94.0% (86.2%)
Floating rate asset-backed securities	$	606	Discounted cash flow	Discount rate	15.5% - 21.7% (18.9%)
				CPR	10%
Farmer Mac Guaranteed Securities:
AgVantage	$	4,016,200	Discounted cash flow	Discount rate	0.8% - 3.3% (1.5%)
Farmer Mac Guaranteed USDA Securities	$	35,008	Discounted cash flow	Discount rate	1.0% - 3.9% (1.9%)
				CPR	8% - 20% (11%)
USDA Securities	$	1,859,176	Discounted cash flow	Discount rate	1.1% - 5.3% (3.1%)
				CPR	0% - 18% (7%)



	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 June 30, 2015 and December 31, 2014:

Table 8.4



	As of June 30, 2015				As of December 31, 2014
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	1,683,156	$	1,683,156	$	1,363,387	$	1,363,387
Investment securities	1,852,505		1,852,505		1,939,188		1,939,188
Farmer Mac Guaranteed Securities	5,887,504		5,873,235		5,459,857		5,453,901
USDA Securities	1,859,176		1,859,176		1,771,532		1,771,532
Loans	3,735,725		3,659,632		3,547,424		3,520,075
Financial derivatives	7,455		7,455		4,177		4,177
Guarantee and commitment fees receivable:
LTSPCs	29,713		27,539		29,095		27,807
Farmer Mac Guaranteed Securities	10,389		10,308		11,876		11,655
Financial liabilities:
Notes payable:
Due within one year	7,634,681		7,632,668		7,357,770		7,353,953
Due after one year	6,079,672		6,013,237		5,556,570		5,471,186
Debt securities of consolidated trusts held by third parties	520,755		516,004		423,085		424,214
Financial derivatives	69,373		69,373		84,844		84,844
Guarantee and commitment obligations:
LTSPCs	28,807		26,633		28,130		26,843
Farmer Mac Guaranteed Securities	9,865		9,784		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.