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Fair Value Disclosures - Fair Value Disclosures (Tables)
 12 Months Ended
Dec. 31, 2018
Fair Value Disclosures [Abstract]  
Fair Value Measurements, Recurring and Nonrecurring [Table Text Block]
he following tables present information about Farmer Mac's assets and liabilities measured at fair value on a recurring and non-recurring basis as of December 31, 2018 and 2017, respectively, and indicate the fair value hierarchy of the valuation techniques used by Farmer Mac to determine such fair value:

Table 13.1
Assets and Liabilities Measured at Fair Value as of December 31, 2018
 
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
$
—

 
$
—

 
$
18,715

 
$
18,715

Floating rate asset-backed securities
—

 
28,678

 
—

 
28,678

Floating rate Government/GSE guaranteed mortgage-backed securities
—

 
1,377,454

 
—

 
1,377,454

Fixed rate GSE guaranteed mortgage-backed securities
—

 
403

 
—

 
403

Fixed rate U.S. Treasuries
792,602

 
—

 
—

 
792,602

Total Investment Securities
792,602

 
1,406,535

 
18,715

 
2,217,852

Farmer Mac Guaranteed Securities:
 

 
 

 
 

 
 

Available-for-sale:
 

 
 

 
 

 
 

AgVantage
—

 
—

 
5,974,497

 
5,974,497

Total Farmer Mac Guaranteed Securities
—

 
—

 
5,974,497

 
5,974,497

USDA Securities:
 

 
 

 
 

 
 

Trading
—

 
—

 
9,999

 
9,999

Total USDA Securities
—

 
—

 
9,999

 
9,999

Financial derivatives
—

 
7,487

 
—

 
7,487

Total Assets at fair value
$
792,602

 
$
1,414,022

 
$
6,003,211

 
$
8,209,835

Liabilities:
 

 
 

 
 

 
 

Financial derivatives
$
188

 
$
19,445

 
$
—

 
$
19,633

Total Liabilities at fair value
$
188

 
$
19,445

 
$
—

 
$
19,633

Non-recurring:
 

 
 

 
 

 
 

Assets:
 

 
 

 
 

 
 

Loans held for investment
$
—

 
$
—

 
$
317

 
$
317

REO
—

 
—

 
128

 
128

Total Non-recurring Assets at fair value
$
—

 
$
—

 
$
445

 
$
445


Assets and Liabilities Measured at Fair Value as of December 31, 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
$
—

 
$
—

 
$
18,814

 
$
18,814

Floating rate asset-backed securities
—

 
34,210

 
—

 
34,210

Floating rate Government/GSE guaranteed mortgage-backed securities
—

 
1,290,187

 
—

 
1,290,187

Fixed rate GSE guaranteed mortgage-backed securities
—

 
486

 
4,333

 
4,819

Fixed rate senior agency debt
—

 
99,951

 
—

 
99,951

Fixed rate U.S. Treasuries
767,424

 
—

 
—

 
767,424

Total available-for-sale
767,424

 
1,424,834

 
23,147

 
2,215,405

Farmer Mac Guaranteed Securities:
 

 
 

 
 

 
 

Available-for-sale:
 

 
 

 
 

 
 

AgVantage
—

 
—

 
5,471,914

 
5,471,914

Total Farmer Mac Guaranteed Securities
—

 
—

 
5,471,914

 
5,471,914

USDA Securities:
 

 
 

 
 

 
 

Trading
—

 
—

 
13,515

 
13,515

Total USDA Securities
—

 
—

 
13,515

 
13,515

Financial derivatives
—

 
7,093

 
—

 
7,093

Total Assets at fair value
$
767,424

 
$
1,431,927

 
$
5,508,576

 
$
7,707,927

Liabilities:
 

 
 

 
 

 
 

Financial derivatives
$
36

 
$
26,563

 
$
—

 
$
26,599

Total Liabilities at fair value
$
36

 
$
26,563

 
$
—

 
$
26,599

Non-recurring:
 

 
 

 
 

 
 

Assets:
 

 
 

 
 

 
 

Loans held for investment
$
—

 
$
—

 
$
508

 
$
508

Total Non-recurring Assets at fair value
$
—

 
$
—

 
$
508

 
$
508
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 years ended December 31, 2018 and 2017.

Table 13.2
Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2018
  
Beginning
Balance
 
Cumulative Effect from Change in Hedge Accounting
 
Purchases
 
Sales
 
Settlements
 
Realized and
Unrealized (Losses)/Gains included
in Income
 
Unrealized (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
$
18,814

 
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
(99
)
 
$
18,715

Fixed rate GSE guaranteed mortgage-backed securities
4,333

 
—

 
—

 
—

 
(2,137
)
 
(2,092
)
 
(104
)
 
—

Total available-for-sale
23,147

 
—

 
—

 
—

 
(2,137
)
 
(2,092
)
 
(203
)
 
18,715

Farmer Mac Guaranteed Securities:
 

 
 
 
 

 
 

 
 
 
 

 
 
 
 

Available-for-sale:
 

 
 
 
 

 
 

 
 
 
 

 
 
 
 

AgVantage
5,471,914

 
487

 
2,177,546

 
—

 
(1,670,402
)
 
21,459

 
(26,507
)
 
5,974,497

Total available-for-sale
5,471,914

 
487

 
2,177,546

 
—

 
(1,670,402
)
 
21,459

 
(26,507
)
 
5,974,497

USDA Securities:
 

 
 
 
 

 
 

 
 
 
 

 
 
 
 

Available-for-sale
—

 
—

 
127,850

 
(127,850
)
 
—

 
—

 
—

 
—

Trading(1)
13,515

 
—

 
—

 
—

 
(3,597
)
 
81

 
—

 
9,999

Total USDA Securities
13,515

 
—

 
127,850

 
(127,850
)
 
(3,597
)
 
81

 
—

 
9,999

Total Assets at fair value
$
5,508,576

 
$
487

 
$
2,305,396

 
$
(127,850
)
 
$
(1,676,136
)
 
$
19,448

 
$
(26,710
)
 
$
6,003,211

(1) 
Includes unrealized gains of $0.1 million attributable to assets still held as of December 31, 2018 that are recorded in "Gains/(losses) on trading securities."






Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2017
  
Beginning
Balance
 
Transfers in
 
Purchases
 
Sales
 
Settlements
 
Realized and
Unrealized (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
$
17,730

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
1,084

 
$
18,814

Fixed rate GSE guaranteed mortgage-backed securities
$
—

 
$
7,041

 
$
—

 
$
—

 
$
(444
)
 
$
—

 
$
(2,264
)
 
$
4,333

Total available-for-sale
17,730

 
7,041

 
—

 
—

 
(444
)
 
—

 
(1,180
)
 
23,147

Farmer Mac Guaranteed Securities:
 

 
 
 
 

 
 

 
 
 
 

 
 
 
 

Available-for-sale:
 

 
 
 
 

 
 

 
 
 
 

 
 
 
 

AgVantage
4,853,685

 
—

 
1,134,132

 
—

 
(526,650
)
 
(7,625
)
 
18,372

 
5,471,914

Total available-for-sale
4,853,685

 
—

 
1,134,132

 
—

 
(526,650
)
 
(7,625
)
 
18,372

 
5,471,914

USDA Securities:
 

 
 
 
 

 
 

 
 
 
 

 
 
 
 

Available-for-sale
—

 
—

 
155,744

 
(155,744
)
 
—

 
—

 
—

 
—

Trading(1)
20,388

 
—

 
—

 
—

 
(6,849
)
 
(24
)
 
—

 
13,515

Total USDA Securities
20,388

 
—

 
155,744

 
(155,744
)
 
(6,849
)
 
(24
)
 
—

 
13,515

Total Assets at fair value
$
4,891,803

 
$
7,041

 
$
1,289,876

 
$
(155,744
)
 
$
(533,943
)
 
$
(7,649
)
 
$
17,192

 
$
5,508,576

(1) 
Includes unrealized gains of $0.1 million attributable to assets still held as of December 31, 2017 that are recorded in "Gains/(losses) on trading securities."


Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2016
  
Beginning
Balance
 
Purchases
 
Sales
 
Settlements
 
Realized and
Unrealized Gains/(Losses) included
in Income
 
Unrealized (Losses)/Gains 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
$
44,924

 
$
—

 
$
(26,806
)
 
$
—

 
$
6

 
$
(394
)
 
—

 
$
17,730

Total available-for-sale
44,924

 
—

 
(26,806
)
 
—

 
6

 
(394
)
 
—

 
17,730

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

 
(394
)
 
—

 
17,730

Farmer Mac Guaranteed Securities:
 

 
 

 
 

 
 
 
 

 
 
 
 
 
 

Available-for-sale:
 

 
 

 
 

 
 
 
 

 
 
 
 
 
 

AgVantage
4,121,244

 
1,430,392

 
—

 
(706,446
)
 
(20,944
)
 
29,439

 
—

 
4,853,685

Farmer Mac Guaranteed USDA Securities(2)
31,361

 
4,100

 
—

 
(3,240
)
 
—

 
603

 
(32,824
)
 
—

Total available-for-sale
4,152,605

 
1,434,492

 
—

 
(709,686
)
 
(20,944
)
 
30,042

 
(32,824
)
 
4,853,685

USDA Securities:
 

 
 

 
 

 
 
 
 

 
 
 
 
 
 

Available-for-sale
1,888,344

 
391,240

 
(97,954
)
 
(237,262
)
 
—

 
35,959

 
(1,980,327
)
 
—

Trading(3)
28,975

 
—

 
—

 
(8,325
)
 
(262
)
 
—

 
—

 
20,388

Total USDA Securities
1,917,319

 
391,240

 
(97,954
)
 
(245,587
)
 
(262
)
 
35,959

 
(1,980,327
)
 
20,388

Total Assets at fair value
$
6,115,339

 
$
1,825,732

 
$
(124,760
)
 
$
(957,486
)
 
$
(19,478
)
 
$
65,607

 
$
(2,013,151
)
 
$
4,891,803

(1) 
None of the unrealized gains are attributable to assets still held as of December 31, 2016 and are recorded in "Gains/(losses) on trading securities."
(2) 
Includes $32.8 million of Farmer Mac Guaranteed USDA Securities and $2.0 billion of USDA Securities transferred from available-for-sale to held-to-maturity on October 1, 2016.
(3) 
Includes unrealized losses of $0.3 million attributable to assets still held as of December 31, 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 December 31, 2018 and 2017.

Table 13.3
 
 
As of December 31, 2018
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
 
$
18,715

 
Indicative bids
 
Range of broker quotes
 
95.0% - 95.0% (95.0%)
Farmer Mac Guaranteed Securities:
 
 
 
 
 
 
 
 
AgVantage
 
$
5,974,497

 
Discounted cash flow
 
Discount rate
 
3.0% - 4.4% (3.3%)
 
 
 
 
 
 
 
 
 
USDA Securities
 
$
9,999

 
Discounted cash flow
 
Discount rate
 
3.2% - 5.2% (4.9%)
 
 
 
 
 
 
CPR
 
7% - 17% (16%)

 
 
As of December 31, 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
 
$
18,814

 
Indicative bids
 
Range of broker quotes
 
95.5% - 95.5% (95.5%)
Fixed rate GSE guaranteed mortgage-backed securities
 
$
4,333

 
Discounted cash flow
 
Discount rate
 
2.9%
 
 
 
 
 
 
CPR
 
0%
Farmer Mac Guaranteed Securities:
 
 
 
 
 
 
 
 
AgVantage
 
$
5,471,914

 
Discounted cash flow
 
Discount rate
 
2.1% - 3.4% (2.4%)
 
 
 
 
 
 
 
 
 
USDA Securities
 
$
13,515

 
Discounted cash flow
 
Discount rate
 
3.6% - 5.4% (5.0%)
 
 
 
 
 
 
CPR
 
7% - 19% (17%)

The significant unobservable inputs used in the fair value measurements of Farmer Mac Guaranteed Securities and USDA Securities are prepayment rates and discount rates commensurate with the risks involved. Typically, significant increases (decreases) in any of these inputs in isolation may result in materially lower (higher) fair value measurements. Generally, in a rising interest rate environment, Farmer Mac would expect average discount rates to increase and would likely expect a corresponding decrease in forecasted prepayment rates. Conversely, in a declining interest rate environment, Farmer Mac would expect average discount rates to decrease and would likely expect a corresponding increase in forecasted prepayment rates. Prepayment rates are not presented in the table above for AgVantage securities because they generally do not pay down principal based on amortization schedules but instead typically have fixed maturity dates when the secured general obligations are due.
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 December 31, 2018 and 2017:

Table 13.4

 
As of December 31, 2018
 
As of December 31, 2017
 
Fair Value
 
Carrying
Amount
 
Fair Value
 
Carrying
Amount
 
(in thousands)
Financial assets:
 
 
 
 
 
 
 
Cash and cash equivalents
$
425,256

 
$
425,256

 
$
302,022

 
$
302,022

Investment securities
2,263,446

 
2,262,884

 
2,260,969

 
2,260,437

Farmer Mac Guaranteed Securities
8,061,903

 
8,071,115

 
7,588,806

 
7,598,188

USDA Securities
2,113,946

 
2,176,173

 
2,076,396

 
2,131,365

Loans
5,512,781

 
5,515,052

 
5,279,225

 
5,266,786

Financial derivatives
7,487

 
7,487

 
7,093

 
7,093

Guarantee and commitment fees receivable:
 
 
 
 
 
 
 
LTSPCs
37,461

 
36,870

 
33,871

 
35,718

Farmer Mac Guaranteed Securities
3,424

 
3,496

 
4,323

 
4,177

Financial liabilities:
 
 
 
 
 
 
 
Notes payable:
 
 
 
 
 
 
 
Due within one year
7,744,388

 
7,757,050

 
8,079,309

 
8,089,826

Due after one year
8,473,558

 
8,486,647

 
7,445,545

 
7,432,790

Debt securities of consolidated trusts held by third parties
1,501,754

 
1,528,957

 
1,386,652

 
1,404,945

Financial derivatives
19,633

 
19,633

 
26,599

 
26,599

Guarantee and commitment obligations:
 
 
 
 
 
 
 
LTSPCs
36,471

 
35,880

 
32,976

 
34,824

Farmer Mac Guaranteed Securities
2,731

 
2,803

 
3,722

 
3,576


The carrying value of cash and cash equivalents is a reasonable estimate of their approximate fair value and is classified as Level 1. Investment securities primarily are valued based on unadjusted quoted prices in active markets and are classified as Level 2. 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. Financial derivatives primarily are valued using unadjusted counterparty valuations and are classified as Level 2. 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. 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. 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.