Fair Value Disclosures - Fair Value Disclosures (Tables)

9 Months Ended

Sep. 30, 2017

Fair Value Disclosures [Abstract]

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 non-recurring basis as of September 30, 2017 and December 31, 2016, 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, 2017
	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	$	—	$	—	$	18,518	$	18,518
Floating rate asset-backed securities	—		35,602		—		35,602
Floating rate Government/GSE guaranteed mortgage-backed securities	—		1,312,204		—		1,312,204
Fixed rate GSE guaranteed mortgage-backed securities	—		507		4,458		4,965
Fixed rate senior agency debt	—		99,871		—		99,871
Fixed rate U.S. Treasuries	763,806		—		—		763,806
Total Investment Securities	763,806		1,448,184		22,976		2,234,966
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		5,443,746		5,443,746
Total Farmer Mac Guaranteed Securities	—		—		5,443,746		5,443,746
USDA Securities:
Trading	—		—		14,864		14,864
Total USDA Securities	—		—		14,864		14,864
Financial derivatives	50		1,970		—		2,020
Total Assets at fair value	$	763,856	$	1,450,154	$	5,481,586	$	7,695,596
Liabilities:
Financial derivatives	$	—	$	30,595	$	—	$	30,595
Total Liabilities at fair value	$	—	$	30,595	$	—	$	30,595
Non-recurring:
Assets:
Loans held for investment	$	—	$	—	$	636	$	636
REO	—		—		455		455
Total Non-recurring Assets at fair value	$	—	$	—	$	1,091	$	1,091

Assets and Liabilities Measured at Fair Value as of December 31, 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	$	—	$	—	$	17,730	$	17,730
Floating rate asset-backed securities	—		43,851		—		43,851
Floating rate corporate debt securities	—		10,041		—		10,041
Floating rate Government/GSE guaranteed mortgage-backed securities	—		1,361,029		—		1,361,029
Fixed rate GSE guaranteed mortgage-backed securities	—		7,625		—		7,625
Floating rate GSE subordinated debt	—		66,953		—		66,953
Fixed rate senior agency debt	—		187,133		—		187,133
Fixed rate U.S. Treasuries	821,489		—		—		821,489
Total Investment Securities	821,489		1,676,632		17,730		2,515,851
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		4,853,685		4,853,685
Total Farmer Mac Guaranteed Securities	—		—		4,853,685		4,853,685
USDA Securities:
Trading	—		—		20,388		20,388
Total USDA Securities	—		—		20,388		20,388
Financial derivatives	—		23,182		—		23,182
Total Assets at fair value	$	821,489	$	1,699,814	$	4,891,803	$	7,413,106
Liabilities:
Financial derivatives	$	155	$	57,997	$	—	$	58,152
Total Liabilities at fair value	$	155	$	57,997	$	—	$	58,152
Non-recurring:
Assets:
Loans held for investment	$	—	$	—	$	2,799	$	2,799
REO	—		—		349		349
Total Non-recurring Assets at fair value	$	—	$	—	$	3,148	$	3,148

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, 2017 and 2016.

Table 8.2

Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended September 30, 2017
	Beginning Balance		Purchases		Sales			Settlements			Realized and Unrealized Gains/(Losses) included in Income			Unrealized Gains/(Losses) included in Other Comprehe- nsive Income			Ending Balance
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	18,518	$	—	$	—		$	—		$	—		$	—		$	18,518
Fixed rate GSE guaranteed mortgage-backed securities	4,651		—		—			(111		)	—			(82		)	4,458
Total available-for-sale	23,169		—		—			(111		)	—			(82		)	22,976
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	5,282,562		193,800		—			(29,851		)	(1,171		)	(1,594		)	5,443,746
Total available-for-sale	5,282,562		193,800		—			(29,851		)	(1,171		)	(1,594		)	5,443,746
USDA Securities:
Available-for-sale	—		40,844		(40,844		)	—			—			—			—
Trading(1)	16,294		—		—			(1,430		)	—			—			14,864
Total USDA Securities	16,294		40,844		(40,844		)	(1,430		)	—			—			14,864
Total Assets at fair value	$	5,322,025	$	234,644	$	(40,844	)	$	(31,392	)	$	(1,171	)	$	(1,676	)	$	5,481,586

⁽¹⁾  Includes unrealized gains of $34,000 attributable to assets still held as of September 30, 2017 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, 2016
	Beginning Balance		Purchases		Sales			Settlements			Realized and Unrealized Gains included in Income			Unrealized Gains included in Other Comprehe-nsive 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 Nine Months Ended September 30, 2017
	Beginning Balance		Transfers in		Purchases		Sales			Settlements			Realized and Unrealized Gains/(Losses) included in Income			Unrealized Gains/(Losses) included in Other Comprehe- nsive 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	—		$	—	$	—		$	—		$	—		$	788		$	18,518
Fixed rate GSE guaranteed mortgage-backed securities	—		7,041		—		—			(334		)	—			(2,249		)	4,458
Total available-for-sale	17,730		7,041		—		—			(334		)	—			(1,461		)	22,976
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	4,853,685		—		927,615		—			(357,006		)	5,166			14,286			5,443,746
Total available-for-sale	4,853,685		—		927,615		—			(357,006		)	5,166			14,286			5,443,746
USDA Securities:
Available-for-sale	—		—		126,939		(126,939		)	—			—			—			—
Trading(1)	20,388		—		—		—			(5,440		)	(84		)	—			14,864
Total USDA Securities	20,388		—		126,939		(126,939		)	(5,440		)	(84		)	—			14,864
Total Assets at fair value	$	4,891,803	$	7,041	$	1,054,554	$	(126,939	)	$	(362,780	)	$	5,082		$	12,825		$	5,481,586

⁽¹⁾  Includes unrealized gains of $42,000 attributable to assets still held as of September 30, 2017 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(Losses)/Gains included in Other Comprehe-nsive 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."

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, 2017 and December 31, 2016.

Table 8.3

	As of September 30, 2017
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	$	18,518	Indicative bids	Range of broker quotes	94.0% - 94.0% (94.0%)
Fixed rate GSE guaranteed mortgage-backed securities	$	4,458	Discounted cash flow	Discount rate	3.7%
				CPR	0 %
Farmer Mac Guaranteed Securities:
AgVantage	$	5,443,746	Discounted cash flow	Discount rate	2.0% - 3.3% (2.2%)
USDA Securities	$	14,864	Discounted cash flow	Discount rate	3.6% - 5.3% (5.0%)
				CPR	7% - 19% (17%)

	As of December 31, 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	$	17,730	Indicative bids	Range of broker quotes	90.0% - 90.0% (90.0%)
Farmer Mac Guaranteed Securities:
AgVantage	$	4,853,685	Discounted cash flow	Discount rate	1.5% - 3.3% (1.9%)
USDA Securities	$	20,388	Discounted cash flow	Discount rate	4.0% - 5.3% (5.0%)
				CPR	13% - 18% (17%)

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, 2017 and December 31, 2016:

Table 8.4

	As of September 30, 2017				As of December 31, 2016
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	366,764	$	366,764	$	265,229	$	265,229
Investment securities	2,234,966		2,234,966		2,515,851		2,515,851
Farmer Mac Guaranteed Securities	7,601,376		7,602,556		6,006,694		6,002,916
USDA Securities	2,042,408		2,107,149		1,934,023		2,029,613
Loans	5,140,669		5,127,770		4,481,019		4,507,435
Financial derivatives	2,020		2,020		23,182		23,182
Guarantee and commitment fees receivable:
LTSPCs	31,986		32,307		34,720		32,656
Farmer Mac Guaranteed Securities	4,611		4,372		6,197		6,215
Financial liabilities:
Notes payable:
Due within one year	8,108,390		8,112,928		8,439,515		8,440,123
Due after one year	7,450,462		7,399,961		5,260,497		5,222,977
Debt securities of consolidated trusts held by third parties	1,310,240		1,333,417		1,107,513		1,142,704
Financial derivatives	30,595		30,595		58,152		58,152
Guarantee and commitment obligations:
LTSPCs	31,169		31,491		33,860		31,796
Farmer Mac Guaranteed Securities	4,065		3,825		5,467		5,486

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 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.