Fair Value Disclosures - Fair Value Disclosures (Tables)

9 Months Ended

Sep. 30, 2016

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, 2016 and December 31, 2015, 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, 2016
	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	$	—	$	—	$	17,582	$	17,582
Floating rate asset-backed securities	—		51,654		—		51,654
Floating rate corporate debt securities	—		15,019		—		15,019
Floating rate Government/GSE guaranteed mortgage-backed securities	—		1,300,691		—		1,300,691
Fixed rate GSE guaranteed mortgage-backed securities	—		7,706		—		7,706
Floating rate GSE subordinated debt	—		66,404		—		66,404
Fixed rate senior agency debt	—		362,523		—		362,523
Fixed rate U.S. Treasuries	1,179,606		—		—		1,179,606
Total Investment Securities	1,179,606		1,803,997		17,582		3,001,185
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		4,904,657		4,904,657
Farmer Mac Guaranteed USDA Securities	—		—		32,824		32,824
Total Farmer Mac Guaranteed Securities	—		—		4,937,481		4,937,481
USDA Securities:
Available-for-sale	—		—		1,980,327		1,980,327
Trading	—		—		23,489		23,489
Total USDA Securities	—		—		2,003,816		2,003,816
Financial derivatives	—		4,627		—		4,627
Total Assets at fair value	$	1,179,606	$	1,808,624	$	6,958,879	$	9,947,109
Liabilities:
Financial derivatives	$	49	$	123,747	$	—	$	123,796
Total Liabilities at fair value	$	49	$	123,747	$	—	$	123,796
Nonrecurring:
Assets:
Loans held for investment	$	—	$	—	$	1,234	$	1,234
REO	—		—		349		349
Total Nonrecurring Assets at fair value	$	—	$	—	$	1,583	$	1,583



Assets and Liabilities Measured at Fair Value as of December 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	$	—	$	—	$	44,924	$	44,924
Floating rate asset-backed securities	—		73,729		—		73,729
Floating rate corporate debt securities	—		9,991		—		9,991
Fixed rate corporate debt	—		9,994		—		9,994
Floating rate Government/GSE guaranteed mortgage-backed securities	—		1,355,459		—		1,355,459
Fixed rate GSE guaranteed mortgage-backed securities	—		7,904		—		7,904
Floating rate GSE subordinated debt	—		66,249		—		66,249
Fixed rate senior agency debt	—		213,987		—		213,987
Fixed rate U.S. Treasuries	992,788		—		—		992,788
Total available-for-sale	992,788		1,737,313		44,924		2,775,025
Trading:
Floating rate asset-backed securities	—		—		491		491
Total trading	—		—		491		491
Total Investment Securities	992,788		1,737,313		45,415		2,775,516
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		4,121,244		4,121,244
Farmer Mac Guaranteed USDA Securities	—		—		31,361		31,361
Total Farmer Mac Guaranteed Securities	—		—		4,152,605		4,152,605
USDA Securities:
Available-for-sale	—		—		1,888,344		1,888,344
Trading	—		—		28,975		28,975
Total USDA Guaranteed Securities	—		—		1,917,319		1,917,319
Financial derivatives	19		3,797		—		3,816
Total Assets at fair value	$	992,807	$	1,741,110	$	6,115,339	$	8,849,256
Liabilities:
Financial derivatives	$	—	$	77,199	$	—	$	77,199
Total Liabilities at fair value	$	—	$	77,199	$	—	$	77,199
Nonrecurring:
Assets:
Loans held for investment	$	—	$	—	$	11,443	$	11,443
REO	$	—	$	—	$	388	$	388
Total Nonrecurring Assets at fair value	$	—	$	—	$	11,831	$	11,831

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 and nine months ended September 30, 2016 and 2015.

Table 8.2



Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended September 30, 2016
	Beginning Balance		Purchases		Sales			Settlements			Realized and Unrealized Gains 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	$	17,730	$	—	$	—		$	—		$	—		$	(148	)	$	17,582
Total available-for-sale	17,730		—		—			—			—			(148		)	17,582
Trading:
Floating rate asset-backed securities⁽¹⁾	281		—		—			(1,887		)	1,606			—			—
Total trading	281		—		—			(1,887		)	1,606			—			—
Total Investment Securities	18,011		—		—			(1,887		)	1,606			(148		)	17,582
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	4,697,584		263,196		—			(64,895		)	(10,960		)	19,732			4,904,657
Farmer Mac Guaranteed USDA Securities	33,447		—		—			(504		)	—			(119		)	32,824
Total Farmer Mac Guaranteed Securities	4,731,031		263,196		—			(65,399		)	(10,960		)	19,613			4,937,481
USDA Securities:
Available-for-sale	1,967,759		119,201		(31,866		)	(55,772		)	—			(18,995		)	1,980,327
Trading⁽²⁾	24,787		—		—			(874		)	(424		)	—			23,489
Total USDA Securities	1,992,546		119,201		(31,866		)	(56,646		)	(424		)	(18,995		)	2,003,816
Total Assets at fair value	$	6,741,588	$	382,397	$	(31,866	)	$	(123,932	)	$	(9,778	)	$	470		$	6,958,879


⁽¹⁾	Unrealized gains are attributable to assets still held as of September 30, 2016 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, 2016 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, 2015
	Beginning Balance		Purchases		Sales		Settlements			Realized and Unrealized Gains 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	$	40,182	$	—	$	—	$	—		$	(100	)	$	4,842		$	44,924
Total available-for-sale	40,182		—		—		—			(100		)	4,842			44,924
Trading:
Floating rate asset-backed securities⁽¹⁾	606		—		—		(106		)	50			—			550
Total trading	606		—		—		(106		)	50			—			550
Total Investment Securities	40,788		—		—		(106		)	(50		)	4,842			45,474
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	4,016,200		200,000		—		(59,311		)	15,834			(46,761		)	4,125,962
Farmer Mac Guaranteed USDA Securities	35,008		—		—		(2,614		)	—			(1,686		)	30,708
Total Farmer Mac Guaranteed Securities	4,051,208		200,000		—		(61,925		)	15,834			(48,447		)	4,156,670
USDA Securities:
Available-for-sale	1,825,406		91,374		—		(51,282		)	—			(11,076		)	1,854,422
Trading⁽²⁾	33,770		—		—		(1,777		)	(57		)	—			31,936
Total USDA Securities	1,859,176		91,374		—		(53,059		)	(57		)	(11,076		)	1,886,358
Total Assets at fair value	$	5,951,172	$	291,374	$	—	$	(115,090	)	$	15,727		$	(54,681	)	$	6,088,502


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


⁽²⁾	Includes unrealized gains of $0.1 million attributable to assets still held as of September 30, 2015 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, 2016
	Beginning Balance		Purchases		Sales			Settlements			Realized and Unrealized Gains 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	$	44,924	$	—	$	(26,806	)	$	—		$	6	$	(542	)	$	17,582
Total available-for-sale	44,924		—		(26,806		)	—			6		(542		)	17,582
Trading:
Floating rate asset-backed securities⁽¹⁾	491		—		—			(2,213		)	1,722		—			—
Total trading	491		—		—			(2,213		)	1,722		—			—
Total Investment Securities	45,415		—		(26,806		)	(2,213		)	1,728		(542		)	17,582
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	4,121,244		1,342,572		—			(594,124		)	26,475		8,490			4,904,657
Farmer Mac Guaranteed USDA Securities	31,361		4,100		—			(3,240		)			603			32,824
Total Farmer Mac Guaranteed Securities	4,152,605		1,346,672		—			(597,364		)	26,475		9,093			4,937,481
USDA Securities:
Available-for-sale	1,888,344		351,914		(58,628		)	(237,262		)	—		35,959			1,980,327
Trading⁽²⁾	28,975		—		—			(5,698		)	212		—			23,489
Total USDA Securities	1,917,319		351,914		(58,628		)	(242,960		)	212		35,959			2,003,816
Total Assets at fair value	$	6,115,339	$	1,698,586	$	(85,434	)	$	(842,537	)	$	28,415	$	44,510		$	6,958,879


⁽¹⁾	Unrealized gains are attributable to assets still held as of September 30, 2016 and are recorded in "Gains/(losses) on trading securities."


⁽²⁾	Includes unrealized gains of $0.1 million attributable to assets still held as of September 30, 2016 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, 2015
	Beginning Balance		Purchases		Sales		Settlements			Realized and Unrealized Gains 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	$	—	$	—	$	—		$	(100	)	$	4,448		$	44,924
Total available-for-sale	40,576		—		—		—			(100		)	4,448			44,924
Trading:
Floating rate asset-backed securities⁽¹⁾	689		—		—		(543		)	404			—			550
Total trading	689		—		—		(543		)	404			—			550
Total Investment Securities	41,265		—		—		(543		)	304			4,448			45,474
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	3,631,662		664,175		—		(126,308		)	13,356			(56,923		)	4,125,962
Farmer Mac Guaranteed USDA Securities	27,619		12,512		—		(9,032		)	—			(391		)	30,708
Total Farmer Mac Guaranteed Securities	3,659,281		676,687		—		(135,340		)	13,356			(57,314		)	4,156,670
USDA Securities:
Available-for-sale	1,731,222		291,981		—		(184,665		)	—			15,884			1,854,422
Trading⁽²⁾	40,310		—		—		(8,494		)	120			—			31,936
Total USDA Securities	1,771,532		291,981		—		(193,159		)	120			15,884			1,886,358
Total Assets at fair value	$	5,472,078	$	968,668	$	—	$	(329,042	)	$	13,780		$	(36,982	)	$	6,088,502


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


⁽²⁾	Includes unrealized gains of $0.2 million attributable to assets still held as of September 30, 2015 that are recorded in "Gains/(losses) 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 September 30, 2016 and December 31, 2015.

Table 8.3



	As of September 30, 2016
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	$	17,582	Indicative bids	Range of broker quotes	89.3% - 89.3% (89.3%)
Farmer Mac Guaranteed Securities:
AgVantage	$	4,904,657	Discounted cash flow	Discount rate	1.4% - 2.6% (1.7%)
Farmer Mac Guaranteed USDA Securities	$	32,824	Discounted cash flow	Discount rate	1.3% - 4.3% (1.8%)
				CPR	9% - 23% (12%)
USDA Securities	$	2,003,816	Discounted cash flow	Discount rate	1.8% - 5.1% (3.0%)
				CPR	0% - 22% (10%)



	As of December 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	$	44,924	Indicative bids	Range of broker quotes	92.0% - 99.6% (96.6%)
Floating rate asset-backed securities	$	491	Discounted cash flow	Discount rate	18.3% - 23.9% (21.5%)
				CPR	10.0%
Farmer Mac Guaranteed Securities:
AgVantage	$	4,121,244	Discounted cash flow	Discount rate	1.1% - 3.3% (1.8%)
Farmer Mac Guaranteed USDA Securities	$	31,361	Discounted cash flow	Discount rate	1.0% - 3.9% (1.8%)
				CPR	9% - 20% (10.0%)
USDA Securities	$	1,917,319	Discounted cash flow	Discount rate	1.3% - 5.1% (3.1%)
				CPR	0% - 19% (7.0%)

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 September 30, 2016 and December 31, 2015:

Table 8.4



	As of September 30, 2016				As of December 31, 2015
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	313,581	$	313,581	$	1,210,084	$	1,210,084
Investment securities	3,001,185		3,001,185		2,775,516		2,775,516
Farmer Mac Guaranteed Securities	6,103,435		6,091,127		5,434,422		5,426,621
USDA Securities	2,003,816		2,003,816		1,917,319		1,917,319
Loans	4,448,360		4,334,434		4,027,660		3,962,044
Financial derivatives	4,627		4,627		3,816		3,816
Guarantee and commitment fees receivable:
LTSPCs	32,054		32,318		31,953		31,240
Farmer Mac Guaranteed Securities	7,004		7,337		8,872		8,949
Financial liabilities:
Notes payable:
Due within one year	9,300,334		9,295,700		9,108,468		9,111,461
Due after one year	4,957,884		4,820,388		5,009,310		4,967,036
Debt securities of consolidated trusts held by third parties	1,062,667		1,044,559		713,316		713,536
Financial derivatives	123,796		123,796		77,199		77,199
Guarantee and commitment obligations:
LTSPCs	31,237		31,501		31,015		30,301
Farmer Mac Guaranteed Securities	5,930		6,263		8,230		8,308

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.