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Fair Value Disclosures (Tables)

3 Months Ended

Mar. 31, 2022

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, 2022 and December 31, 2021, 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, 2022
	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	$	—	$	—	$	18,961	$	18,961


Floating rate Government/GSE guaranteed mortgage-backed securities	—		2,265,157		—		2,265,157
Fixed rate GSE guaranteed mortgage-backed securities	—		520,620		—		520,620

Fixed rate U.S. Treasuries	1,390,576		—		—		1,390,576
Total Available-for-sale Investment Securities	1,390,576		2,785,777		18,961		4,195,314
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		6,589,224		6,589,224
Farmer Mac Guaranteed Securities	—		—		11,022		11,022
Total Farmer Mac Guaranteed Securities	—		—		6,600,246		6,600,246
USDA Securities:
Trading	—		—		3,386		3,386
Total USDA Securities	—		—		3,386		3,386
Financial derivatives	1,039		25,290		—		26,329
Guarantee Asset	—		—		6,138		6,138
Total Assets at fair value	$	1,391,615	$	2,811,067	$	6,628,731	$	10,831,413
Liabilities:
Financial derivatives	$	128	$	105,446	$	—	$	105,574
Total Liabilities at fair value	$	128	$	105,446	$	—	$	105,574

Non-recurring:
Assets

Loans held for sale	$	—	$	—	$	9,300	$	9,300
Total non-recurring assets at fair value	$	—	$	—	$	9,300	$	9,300

(1) Level 3 assets represent 26% of total assets and 61% of financial instruments measured at fair value.


Assets and Liabilities Measured at Fair Value as of December 31, 2021
	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	$	—	$	—	$	19,254	$	19,254

Floating rate Government/GSE guaranteed mortgage-backed securities	—		2,178,831		—		2,178,831
Fixed rate GSE guaranteed mortgage-backed securities	—		458,837		—		458,837
Fixed rate U.S. Treasuries	1,179,469		—		—		1,179,469
Total Available-for-sale Investment Securities	1,179,469		2,637,668		19,254		3,836,391
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		6,316,145		6,316,145
Farmer Mac Guaranteed Securities	—		—		12,414		12,414
Total Farmer Mac Guaranteed Securities	—		—		6,328,559		6,328,559
USDA Securities:
Trading	—		—		4,401		4,401
Total USDA Securities	—		—		4,401		4,401
Financial derivatives	73		19,066		—		19,139
Guarantee Asset	—		—		6,237		6,237
Total Assets at fair value	$	1,179,542	$	2,656,734	$	6,358,451	$	10,194,727
Liabilities:
Financial derivatives	$	—	$	34,248	$	—	$	34,248
Total Liabilities at fair value	$	—	$	34,248	$	—	$	34,248

Non-recurring:
Assets
Mortgage Servicing Rights	$	—	$	—	$	2,681	$	2,681

Total non-recurring assets at fair value	$	—	$	—	$	2,681	$	2,681

(1) Level 3 assets represent 25% of total assets and 62% 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, 2022 and 2021.

Table 9.2


Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended March 31, 2022
	Beginning Balance		Purchases		Sales		Settlements		Allowance for Losses		Realized and unrealized (losses)/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	$	19,254	$	—	$	—	$	—	$	2	$	—	$	(295)	$	18,961
Total available-for-sale	19,254		—		—		—		2		—		(295)		18,961
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	6,316,145		832,750		—		(295,284)		(418)		(210,587)		(53,382)		6,589,224
Farmer Mac Guaranteed Securities	12,414		—		—		(379)		—		—		(1,013)		11,022
Total available-for-sale	6,328,559		832,750		—		(295,663)		(418)		(210,587)		(54,395)		6,600,246
USDA Securities:

Trading	4,401		—		—		(952)		—		(63)		—		3,386
Total USDA Securities	4,401		—		—		(952)				(63)		—		3,386
Guarantee and commitment obligations:
Guarantee Asset	6,237		—		—		(255)		—		156		—		6,138
Total Guarantee and commitment obligations	6,237		—		—		(255)		—		156		—		6,138
Total Assets at fair value	$	6,358,451	$	832,750	$	—	$	(296,870)	$	(416)	$	(210,494)	$	(54,690)	$	6,628,731


Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended March 31, 2021
	Beginning Balance		Purchases		Sales		Settlements		Allowance for Losses		Realized 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	$	—	$	—	$	—	$	(25)	$	—	$	—	$	19,146
Total available-for-sale	19,171		—		—		—		(25)		—		—		19,146
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	6,947,701		160,615		—		(243,832)		182		(168,742)		67,285		6,763,209
Total available-for-sale	6,947,701		160,615		—		(243,832)		182		(168,742)		67,285		6,763,209
USDA Securities:

Trading	6,695		—		—		(1,103)		—		(14)		—		5,578
Total USDA Securities	6,695		—		—		(1,103)				(14)		—		5,578
Total Assets at fair value	$	6,973,567	$	160,615	$	—	$	(244,935)	$	157	$	(168,756)	$	67,285	$	6,787,933

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, 2022 and December 31, 2021:

Table 9.3

As of March 31, 2022

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

18,961

Indicative bids

Range of broker quotes

96.5% - 96.5% (96.5%)

Farmer Mac Guaranteed Securities:

AgVantage

6,589,224

Discounted cash flow

Discount rate

1.7% - 3.2% (2.9%)

Farmer Mac Guaranteed Securities

11,022

Discounted cash flow

Discount rate

3.4% - 3.9% (3.6%)

CPR

USDA Securities

3,386

Discounted cash flow

Discount rate

3.1% - 4.7% (4.4%)

CPR

21% - 33% (31%)

Guarantee Asset

6,138

Discounted cash flow

Discount rate

3.9% - 4.4% (4.2%)

CPR

As of December 31, 2021

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

19,254

Indicative bids

Range of broker quotes

98.0% - 98.0% (98.0%)

Farmer Mac Guaranteed Securities:

AgVantage

6,316,145

Discounted cash flow

Discount rate

0.9% - 2.1% (1.7%)

Farmer Mac Guaranteed Securities

12,414

Discounted cash flow

Discount rate

2.3% - 2.8% (2.6%)

CPR

8.0%

USDA Securities

4,401

Discounted cash flow

Discount rate

1.4% - 3.1% (2.8%)

CPR

25% - 42% (39%)

Guarantee Asset

6,237

Discounted cash flow

Discount rate

5.4% - 5.8% (5.6%)

CPR

7% - 12% (8%)

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, 2022 and December 31, 2021:

Table 9.4


	As of March 31, 2022				As of December 31, 2021
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	890,046	$	890,046	$	908,785	$	908,785
Investment securities	4,241,418		4,241,788		3,884,202		3,882,590
Farmer Mac Guaranteed Securities	8,476,067		8,506,464		8,360,293		8,361,798
USDA Securities	2,395,117		2,439,489		2,536,473		2,440,732
Loans	9,429,186		9,364,940		9,814,642		9,248,678
Financial derivatives	26,329		26,329		19,139		19,139
Guarantee and commitment fees receivable	43,279		45,021		42,533		45,538
Financial liabilities:
Notes payable	22,596,306		23,039,967		22,716,791		22,716,156
Debt securities of consolidated trusts held by third parties	890,823		895,145		1,005,306		981,379
Financial derivatives	105,574		105,574		34,248		34,248
Guarantee and commitment obligations	41,542		43,285		40,920		43,926

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details