Fair Value Disclosures (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Disclosures [Abstract]

Fair Value Measurements, Recurring and Nonrecurring

The following tables present information about Farmer Mac's assets and liabilities measured at fair value on a recurring basis as of March 31, 2020 and December 31, 2019, respectively, and indicate the fair value hierarchy of the valuation techniques used by Farmer Mac to determine such fair value:

Table 9.1

Assets and Liabilities Measured at Fair Value as of March 31, 2020
	Level 1		Level 2		Level 3(1)		Total
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	—	$	—	$	16,721	$	16,721
Floating rate asset-backed securities	—		10,503		—		10,503
Floating rate Government/GSE guaranteed mortgage-backed securities	—		1,777,999		—		1,777,999
Fixed rate GSE guaranteed mortgage-backed securities	—		335		—		335
Fixed rate U.S. Treasuries	1,155,599		—		—		1,155,599
Total Investment Securities	1,155,599		1,788,837		16,721		2,961,157
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		7,587,186		7,587,186
Total Farmer Mac Guaranteed Securities	—		—		7,587,186		7,587,186
USDA Securities:
Trading	—		—		8,408		8,408
Total USDA Securities	—		—		8,408		8,408
Financial derivatives	—		12,692		—		12,692
Total Assets at fair value	$	1,155,599	$	1,801,529	$	7,612,315	$	10,569,443
Liabilities:
Financial derivatives	$	114	$	53,681	$	—	$	53,795
Total Liabilities at fair value	$	114	$	53,681	$	—	$	53,795

⁽¹⁾ Level 3 assets represent 33% of total assets and 72% of financial instruments measured at fair value.

Assets and Liabilities Measured at Fair Value as of December 31, 2019
	Level 1		Level 2		Level 3(1)		Total
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	—	$	—	$	18,912	$	18,912
Floating rate asset-backed securities	—		11,085		—		11,085
Floating rate Government/GSE guaranteed mortgage-backed securities	—		1,632,583		—		1,632,583
Fixed rate GSE guaranteed mortgage-backed securities	—		340		—		340
Fixed rate U.S. Treasuries	1,296,923		—		—		1,296,923
Total available-for-sale	1,296,923		1,644,008		18,912		2,959,843
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		7,143,025		7,143,025
Total Farmer Mac Guaranteed Securities	—		—		7,143,025		7,143,025
USDA Securities:
Trading	—		—		8,913		8,913
Total USDA Securities	—		—		8,913		8,913
Financial derivatives	—		10,519		—		10,519
Total Assets at fair value	$	1,296,923	$	1,654,527	$	7,170,850	$	10,122,300
Liabilities:
Financial derivatives	$	51	$	26,991	$	—	$	27,042
Total Liabilities at fair value	$	51	$	26,991	$	—	$	27,042

⁽¹⁾ Level 3 assets represent 33% of total assets and 71% of financial instruments measured at fair value.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

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, 2020 and 2019.

Table 9.2

Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended March 31, 2020
	Beginning Balance		Purchases		Sales		Settlements		Allowance for Losses		Realized and Unrealized Gains included in Income		Unrealized Losses included in Other Comprehensive Income		Ending Balance
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	18,912	$	—	$	—	$	—	$	(24)	$	—	$	(2,167)	$	16,721
Total available-for-sale	18,912		—		—		—		(24)		—		(2,167)		16,721
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	7,143,025		483,580		—		(227,255)		(166)		290,380		(102,378)		7,587,186
Total available-for-sale	7,143,025		483,580		—		(227,255)		(166)		290,380		(102,378)		7,587,186
USDA Securities:
Trading	8,913		—		—		(611)		—		106		—		8,408
Total USDA Securities	8,913		—		—		(611)				106		—		8,408
Total Assets at fair value	$	7,170,850	$	483,580	$	—	$	(227,866)	$	(190)	$	290,486	$	(104,545)	$	7,612,315

Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended March 31, 2019
	Beginning Balance		Purchases		Sales		Settlements		Realized and Unrealized Gains included in Income		Unrealized Gains included in Other Comprehensive Income		Ending Balance
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	18,715	$	—	$	—	$	—	$	—	$	197	$	18,912
Total available-for-sale	18,715		—		—		—		—		197		18,912
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	5,974,497		776,332		—		(371,733)		59,352		3,176		6,441,624
Total available-for-sale	5,974,497		776,332		—		(371,733)		59,352		3,176		6,441,624
USDA Securities:
Available-for-sale	—		18,928		(18,928)		—		—		—		—
Trading	9,999		—		—		(556)		44		—		9,487
Total USDA Securities	9,999		18,928		(18,928)		(556)		44		—		9,487
Total Assets at fair value	$	6,003,211	$	795,260	$	(18,928)	$	(372,289)	$	59,396	$	3,373	$	6,470,023

Fair Value Inputs, Assets and Liabilities, Quantitative Information

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, 2020 and December 31, 2019:

Table 9.3

	As of March 31, 2020
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	$	16,721	Indicative bids	Range of broker quotes	85.0% - 85.0% (85.0%)
Farmer Mac Guaranteed Securities:
AgVantage	$	7,587,186	Discounted cash flow	Discount rate	1.1% - 2.2% (1.4%)
USDA Securities	$	8,408	Discounted cash flow	Discount rate	1.6% - 2.2% (1.6%)
				CPR	13% - 23% (21%)

	As of December 31, 2019
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	$	18,912	Indicative bids	Range of broker quotes	96.0% - 96.0% (96.0%)
Farmer Mac Guaranteed Securities:
AgVantage	$	7,143,025	Discounted cash flow	Discount rate	2.3% - 5.5% (2.6%)
USDA Securities	$	8,913	Discounted cash flow	Discount rate	2.3% - 2.6% (2.1%)
				CPR	10% - 21% (19%)

Fair Value, by Balance Sheet Grouping

The following table sets forth the estimated fair values and carrying values for financial assets, liabilities, and guarantees and commitments as of March 31, 2020 and December 31, 2019:

Table 9.4

	As of March 31, 2020				As of December 31, 2019
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	1,231,585	$	1,231,585	$	604,381	$	604,381
Investment securities	3,006,320		3,006,189		3,005,828		3,004,875
Farmer Mac Guaranteed Securities	9,067,242		9,035,069		8,606,451		8,590,476
USDA Securities	2,344,548		2,278,019		2,294,671		2,241,073
Loans	7,553,328		7,315,224		7,317,091		6,981,440
Financial derivatives	12,692		12,692		10,519		10,519
Guarantee and commitment fees receivable	32,420		37,521		36,732		38,442
Financial liabilities:
Notes payable	20,975,163		20,665,020		19,234,079		19,098,648
Debt securities of consolidated trusts held by third parties	1,605,021		1,549,527		1,663,177		1,616,504
Financial derivatives	53,795		53,795		27,042		27,042
Guarantee and commitment obligations	30,838		35,939		34,990		36,700