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Fair Value Disclosures (Tables)
 9 Months Ended
Sep. 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 September 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 September 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$— $— $19,500 $19,500 
Floating rate Government/GSE guaranteed mortgage-backed securities— 2,403,074 — 2,403,074 
Fixed rate GSE guaranteed mortgage-backed securities— 28,897 — 28,897 
Fixed rate U.S. Treasuries1,244,733 — — 1,244,733 
Total Available-for-sale Investment Securities1,244,733 2,431,971 19,500 3,696,204 
Farmer Mac Guaranteed Securities:    
Available-for-sale:    
AgVantage— — 6,138,759 6,138,759 
Total Farmer Mac Guaranteed Securities— — 6,138,759 6,138,759 
USDA Securities:    
Trading— — 4,793 4,793 
Total USDA Securities— — 4,793 4,793 
Financial derivatives— 15,668 — 15,668 
Total Assets at fair value$1,244,733 $2,447,639 $6,163,052 $9,855,424 
Liabilities:    
Financial derivatives$— $25,633 $— $25,633 
Total Liabilities at fair value$— $25,633 $— $25,633 
Non-recurring:
Assets
Loans held for sale$— $— $324,246 $324,246 
Total non-recurring assets at fair value$— $— $324,246 $324,246 
(1) Level 3 assets represent 26% of total assets and 64% of financial instruments measured at fair value.
Assets and Liabilities Measured at Fair Value as of December 31, 2020
 Level 1Level 2
Level 3(1)
Total
 (in thousands)
Recurring: 
Assets:    
Investment Securities:    
Available-for-sale:    
Floating rate auction-rate certificates backed by Government guaranteed student loans$— $— $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 nine months ended September 30, 2021 and 2020.

Table 9.2
Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended September 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$19,248 $— $— $— $6 $— $246 $19,500 
Total available-for-sale19,248 — — — 6 — 246 19,500 
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage6,877,405 — — (708,882)(70)(31,462)1,768 6,138,759 
Total available-for-sale6,877,405 — — (708,882)(70)(31,462)1,768 6,138,759 
USDA Securities:
Trading5,050 — — (294)— 37 — 4,793 
Total USDA Securities5,050 — — (294)37 — 4,793 
Total Assets at fair value$6,901,703 $— $— $(709,176)$(64)$(31,425)$2,014 $6,163,052 
Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended September 30, 2020
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$18,283 $— $— $— $1 $— $788 $19,072 
Total available-for-sale18,283 — — — 1 — 788 19,072 
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage7,898,387 122,892 — (513,864)(96)(41,832)46,151 7,511,638 
Total available-for-sale7,898,387 122,892 — (513,864)(96)(41,832)46,151 7,511,638 
USDA Securities:
Trading7,786 — — (697)— (259)— 6,830 
Total USDA Securities7,786 — — (697)(259)— 6,830 
Total Assets at fair value$7,924,456 $122,892 $— $(514,561)$(95)$(42,091)$46,939 $7,537,540 


Level 3 Assets and Liabilities Measured at Fair Value for the Nine Months Ended September 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 $— $— $— $(16)$— $345 $19,500 
Total available-for-sale19,171 — — — (16)— 345 19,500 
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage6,947,701 578,115 — (1,263,117)19 (150,265)26,306 6,138,759 
Total available-for-sale6,947,701 578,115 — (1,263,117)19 (150,265)26,306 6,138,759 
USDA Securities:
Trading6,695 — — (1,864)— (38)— 4,793 
Total USDA Securities6,695 — — (1,864)(38)— 4,793 
Total Assets at fair value$6,973,567 $578,115 $— $(1,264,981)$3 $(150,303)$26,651 $6,163,052 
Level 3 Assets and Liabilities Measured at Fair Value for the Nine Months Ended September 30, 2020
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$18,912 $— $— $— $(37)$— $197 $19,072 
Total available-for-sale18,912 — — — (37)— 197 19,072 
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage7,143,025 958,368 — (826,380)(330)257,597 (20,642)7,511,638 
Total available-for-sale7,143,025 958,368 — (826,380)(330)257,597 (20,642)7,511,638 
USDA Securities:
Trading8,913 — — (1,910)— (173)— 6,830 
Total USDA Securities8,913 — — (1,910)(173)— 6,830 
Total Assets at fair value$7,170,850 $958,368 $— $(828,290)$(367)$257,424 $(20,445)$7,537,540 
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 September 30, 2021 and December 31, 2020:

Table 9.3
As of September 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$19,500 Indicative bidsRange of broker quotes
99.3% - 99.3% (99.3%)
Farmer Mac Guaranteed Securities:
AgVantage$6,138,759 Discounted cash flowDiscount rate
0.9% - 2.1% (1.4%)
USDA Securities$4,793 Discounted cash flowDiscount rate
1.4% - 2.3% (1.8%)
CPR
25% - 43% (34%)
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 September 30, 2021 and December 31, 2020:

Table 9.4
 As of September 30, 2021As of December 31, 2020
 Fair ValueCarrying
Amount		Fair ValueCarrying
Amount
 (in thousands)
Financial assets:    
Cash and cash equivalents$899,052 $899,052 $1,033,941 $1,033,941 
Investment securities3,742,635 3,741,639 3,899,925 3,898,724 
Farmer Mac Guaranteed Securities8,393,490 8,387,062 8,148,691 8,123,493 
USDA Securities2,548,207 2,462,010 2,637,509 2,480,321 
Loans9,526,315 9,022,915 9,167,525 8,535,146 
Financial derivatives15,668 15,668 17,468 17,468 
Guarantee and commitment fees receivable36,643 39,038 34,115 37,113 
Financial liabilities:
Notes payable22,448,508 22,365,121 22,130,263 21,848,917 
Debt securities of consolidated trusts held by third parties1,039,150 990,961 1,390,330 1,323,786 
Financial derivatives25,633 25,633 29,892 29,892 
Guarantee and commitment obligations35,131 37,526 32,537 35,535