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Fair Value Disclosures (Tables)
 6 Months Ended
Jun. 30, 2021
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 June 30, 2021 and December 31, 2020, 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 June 30, 2021
 Level 1Level 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$— $— $19,248 $19,248 
Floating rate Government/GSE guaranteed mortgage-backed securities— 2,474,700 — 2,474,700 
Fixed rate GSE guaranteed mortgage-backed securities— 29,010 — 29,010 
Fixed rate U.S. Treasuries1,309,274 — — 1,309,274 
Total Available-for-sale Investment Securities1,309,274 2,503,710 19,248 3,832,232 
Farmer Mac Guaranteed Securities:    
Available-for-sale:    
AgVantage— — 6,877,405 6,877,405 
Total Farmer Mac Guaranteed Securities— — 6,877,405 6,877,405 
USDA Securities:    
Trading— — 5,050 5,050 
Total USDA Securities— — 5,050 5,050 
Financial derivatives— 16,224 — 16,224 
Total Assets at fair value$1,309,274 $2,519,934 $6,901,703 $10,730,911 
Liabilities:    
Financial derivatives$88 $24,259 $— $24,347 
Total Liabilities at fair value$88 $24,259 $— $24,347 
(1) Level 3 assets represent 29% of total assets and 64% of financial instruments measured at fair value.
Assets and Liabilities Measured at Fair Value as of December 31, 2020
 Level 1Level 2
Level 3(1)
Total
 (in thousands)
Recurring: 
Assets:    
Investment Securities:    
Available-for-sale:    
Floating rate auction-rate certificates backed by Government guaranteed student loans$— $— $19,171 $19,171 
Floating rate asset-backed securities— 6,231 — 6,231 
Floating rate Government/GSE guaranteed mortgage-backed securities— 2,360,026 — 2,360,026 
Fixed rate GSE guaranteed mortgage-backed securities— 313 — 313 
Fixed rate U.S. Treasuries1,467,951 — — 1,467,951 
Total Available-for-sale Investment Securities1,467,951 2,366,570 19,171 3,853,692 
Farmer Mac Guaranteed Securities:    
Available-for-sale:    
AgVantage— — 6,947,701 6,947,701 
Total Farmer Mac Guaranteed Securities— — 6,947,701 6,947,701 
USDA Securities:    
Trading— — 6,695 6,695 
Total USDA Securities— — 6,695 6,695 
Financial derivatives— 17,468 — 17,468 
Total Assets at fair value$1,467,951 $2,384,038 $6,973,567 $10,825,556 
Liabilities:    
Financial derivatives$82 $29,810 $— $29,892 
Total Liabilities at fair value$82 $29,810 $— $29,892 
(1) Level 3 assets represent 29% of total assets and 65% 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 and six months ended June 30, 2021 and 2020.

Table 9.2
Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended June 30, 2021
Beginning BalancePurchasesSalesSettlementsAllowance for LossesRealized and
unrealized gains/(losses) included
in Income		Unrealized gains/(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$19,146 $— $— $— $3 $— $99 $19,248 
Total available-for-sale19,146 — — — 3 — 99 19,248 
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage6,763,209 417,500 — (310,403)(93)49,939 (42,747)6,877,405 
Total available-for-sale6,763,209 417,500 — (310,403)(93)49,939 (42,747)6,877,405 
USDA Securities:
Trading5,578 — — (467)— (61)— 5,050 
Total USDA Securities5,578 — — (467)(61)— 5,050 
Total Assets at fair value$6,787,933 $417,500 $— $(310,870)$(90)$49,878 $(42,648)$6,901,703 
Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended June 30, 2020
Beginning BalancePurchasesSalesSettlementsAllowance for LossesRealized and
unrealized gains/(losses) 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$16,721 $— $— $— $(15)$— $1,577 $18,283 
Total available-for-sale16,721 — — — (15)— 1,577 18,283 
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage7,587,186 351,896 — (85,261)(69)9,050 35,585 7,898,387 
Total available-for-sale7,587,186 351,896 — (85,261)(69)9,050 35,585 7,898,387 
USDA Securities:
Trading8,408 — — (602)— (20)— 7,786 
Total USDA Securities8,408 — — (602)(20)— 7,786 
Total Assets at fair value$7,612,315 $351,896 $— $(85,863)$(84)$9,030 $37,162 $7,924,456 


Level 3 Assets and Liabilities Measured at Fair Value for the Six Months Ended June 30, 2021
Beginning BalancePurchasesSalesSettlementsAllowance for LossesRealized and
unrealized losses 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$19,171 $— $— $— $(22)$— $99 $19,248 
Total available-for-sale19,171 — — — (22)— 99 19,248 
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage6,947,701 578,115 — (554,235)89 (118,803)24,538 6,877,405 
Total available-for-sale6,947,701 578,115 — (554,235)89 (118,803)24,538 6,877,405 
USDA Securities:
Trading6,695 — — (1,570)— (75)— 5,050 
Total USDA Securities6,695 — — (1,570)(75)— 5,050 
Total Assets at fair value$6,973,567 $578,115 $— $(555,805)$67 $(118,878)$24,637 $6,901,703 
Level 3 Assets and Liabilities Measured at Fair Value for the Six Months Ended June 30, 2020
Beginning BalancePurchasesSalesSettlementsAllowance for LossesRealized 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 $— $— $— $(38)$— $(591)$18,283 
Total available-for-sale18,912 — — — (38)— (591)18,283 
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage7,143,025 835,476 — (312,516)(234)299,429 (66,793)7,898,387 
Total available-for-sale7,143,025 835,476 — (312,516)(234)299,429 (66,793)7,898,387 
USDA Securities:
Trading8,913 — — (1,213)— 86 — 7,786 
Total USDA Securities8,913 — — (1,213)86 — 7,786 
Total Assets at fair value$7,170,850 $835,476 $— $(313,729)$(272)$299,515 $(67,384)$7,924,456 
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 June 30, 2021 and December 31, 2020:

Table 9.3
As of June 30, 2021
Financial InstrumentsFair ValueValuation TechniqueUnobservable InputRange (Weighted-Average)
(in thousands)
Assets:
Investment securities:
Floating rate auction-rate certificates backed by Government guaranteed student loans$19,248 Indicative bidsRange of broker quotes
98.0% - 98.0% (98.0%)
Farmer Mac Guaranteed Securities:
AgVantage$6,877,405 Discounted cash flowDiscount rate
0.8% - 3.9% (1.5%)
USDA Securities$5,050 Discounted cash flowDiscount rate
2.0% - 2.3% (2.2%)
CPR
25% - 45% (35%)
As of December 31, 2020
Financial InstrumentsFair ValueValuation TechniqueUnobservable InputRange (Weighted-Average)
(in thousands)
Assets:
Investment securities:
Floating rate auction-rate certificates backed by Government guaranteed student loans$19,171 Indicative bidsRange of broker quotes
97.5% - 97.5% (97.5%)
Farmer Mac Guaranteed Securities:
AgVantage$6,947,701 Discounted cash flowDiscount rate
0.8% - 2.3% (1.3%)
USDA Securities$6,695 Discounted cash flowDiscount rate
0.9% - 1.9% (1.4%)
CPR
25% - 49% (44%)
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 June 30, 2021 and December 31, 2020:

Table 9.4
 As of June 30, 2021As of December 31, 2020
 Fair ValueCarrying
Amount		Fair ValueCarrying
Amount
 (in thousands)
Financial assets:    
Cash and cash equivalents$828,403 $828,403 $1,033,941 $1,033,941 
Investment securities3,877,470 3,877,667 3,899,925 3,898,724 
Farmer Mac Guaranteed Securities7,931,395 7,918,162 8,148,691 8,123,493 
USDA Securities2,472,043 2,450,768 2,637,509 2,480,321 
Loans9,057,544 8,860,705 9,167,525 8,535,146 
Financial derivatives16,224 16,224 17,468 17,468 
Guarantee and commitment fees receivable34,525 37,261 34,115 37,113 
Financial liabilities:
Notes payable21,839,641 21,706,254 22,130,263 21,848,917 
Debt securities of consolidated trusts held by third parties1,121,731 1,120,293 1,390,330 1,323,786 
Financial derivatives24,347 24,347 29,892 29,892 
Guarantee and commitment obligations33,091 35,827 32,537 35,535