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Fair Value Disclosures (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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 June 30, 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	$	—	$	—	$	19,061	$	19,061


Floating rate Government/GSE guaranteed mortgage-backed securities	—		2,372,459		—		2,372,459
Fixed rate GSE guaranteed mortgage-backed securities	—		677,678		—		677,678

Fixed rate U.S. Treasuries	1,176,814		—		—		1,176,814
Total Available-for-sale Investment Securities	1,176,814		3,050,137		19,061		4,246,012
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		6,440,396		6,440,396
Farmer Mac Guaranteed Securities	—		—		9,816		9,816
Total Farmer Mac Guaranteed Securities	—		—		6,450,212		6,450,212
USDA Securities:
Trading	—		—		2,275		2,275
Total USDA Securities	—		—		2,275		2,275
Financial derivatives	350		29,661		—		30,011
Guarantee Asset	—		—		5,636		5,636
Total Assets at fair value	$	1,177,164	$	3,079,798	$	6,477,184	$	10,734,146
Liabilities:
Financial derivatives	$	1,046	$	126,937	$	—	$	127,983
Total Liabilities at fair value	$	1,046	$	126,937	$	—	$	127,983

(1) Level 3 assets represent 25% of total assets and 60% 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 and six months ended June 30, 2022 and 2021.

Table 9.2


Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended June 30, 2022
	Beginning Balance		Purchases		Sales		Settlements		Allowance for Losses		Realized and unrealized (losses)/gains 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	$	18,961	$	—	$	—	$	—	$	1	$	—	$	99	$	19,061
Total available-for-sale	18,961		—		—		—		1		—		99		19,061
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	6,589,224		520,000		—		(513,342)		84		(149,205)		(6,365)		6,440,396
Farmer Mac Guaranteed Securities	11,022		—		—		(358)		—		—		(848)		9,816
Total available-for-sale	6,600,246		520,000		—		(513,700)		84		(149,205)		(7,213)		6,450,212
USDA Securities:

Trading	3,386		—		—		(1,140)		—		29		—		2,275
Total USDA Securities	3,386		—		—		(1,140)				29		—		2,275
Guarantee and commitment obligations:
Guarantee Asset	6,138		—		—		(188)		—		(314)		—		5,636
Total Guarantee and commitment obligations	6,138		—		—		(188)		—		(314)		—		5,636
Total Assets at fair value	$	6,628,731	$	520,000	$	—	$	(515,028)	$	85	$	(149,490)	$	(7,114)	$	6,477,184


Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended June 30, 2021
	Beginning Balance		Purchases		Sales		Settlements		Allowance for Losses		Realized 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-sale	19,146		—		—		—		3		—		99		19,248
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	6,763,209		417,500		—		(310,403)		(93)		49,939		(42,747)		6,877,405
Total available-for-sale	6,763,209		417,500		—		(310,403)		(93)		49,939		(42,747)		6,877,405
USDA Securities:

Trading	5,578		—		—		(467)		—		(61)		—		5,050
Total USDA Securities	5,578		—		—		(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 Six Months Ended June 30, 2022
	Beginning Balance		Purchases		Sales		Settlements		Allowance for Losses		Realized and unrealized losses 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	$	19,254	$	—	$	—	$	—	$	3	$	—	$	(196)	$	19,061
Total available-for-sale	19,254		—		—		—		3		—		(196)		19,061
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	6,316,145		1,352,750		—		(808,626)		(334)		(359,792)		(59,747)		6,440,396
Farmer Mac Guaranteed Securities	12,414		—		—		(737)		—		—		(1,861)		9,816
Total available-for-sale	6,328,559		1,352,750		—		(809,363)		(334)		(359,792)		(61,608)		6,450,212
USDA Securities:

Trading	4,401		—		—		(2,092)		—		(34)		—		2,275
Total USDA Securities	4,401		—		—		(2,092)				(34)		—		2,275
Guarantee and commitment obligations:
Guarantee Asset	6,237		—		—		(443)		—		(158)		—		5,636
Total Guarantee and commitment obligations	6,237		—		—		(443)		—		(158)		—		5,636
Total Assets at fair value	$	6,358,451	$	1,352,750	$	—	$	(811,898)	$	(331)	$	(359,984)	$	(61,804)	$	6,477,184


Level 3 Assets and Liabilities Measured at Fair Value for the Six Months Ended June 30, 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	$	—	$	—	$	—	$	(22)	$	—	$	99	$	19,248
Total available-for-sale	19,171		—		—		—		(22)		—		99		19,248
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	6,947,701		578,115		—		(554,235)		89		(118,803)		24,538		6,877,405
Total available-for-sale	6,947,701		578,115		—		(554,235)		89		(118,803)		24,538		6,877,405
USDA Securities:

Trading	6,695		—		—		(1,570)		—		(75)		—		5,050
Total USDA Securities	6,695		—		—		(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

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, 2022 and December 31, 2021:

Table 9.3

As of June 30, 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

19,061

Indicative bids

Range of broker quotes

97.0% - 97.0% (97.0%)

Farmer Mac Guaranteed Securities:

AgVantage

6,440,396

Discounted cash flow

Discount rate

3.1% - 4.0% (3.8%)

Farmer Mac Guaranteed Securities

9,816

Discounted cash flow

Discount rate

4.1% - 4.6% (4.4%)

CPR

USDA Securities

2,275

Discounted cash flow

Discount rate

4.0% - 4.1% (4.1%)

CPR

22% - 23% (23%)

Guarantee Asset

5,636

Discounted cash flow

Discount rate

4.7% - 5.2% (4.9%)

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 June 30, 2022 and December 31, 2021:

Table 9.4


	As of June 30, 2022				As of December 31, 2021
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	909,430	$	909,430	$	908,785	$	908,785
Investment securities	4,292,220		4,292,581		3,884,202		3,882,590
Farmer Mac Guaranteed Securities	8,096,651		8,139,681		8,360,293		8,361,798
USDA Securities	2,252,884		2,433,105		2,536,473		2,440,732
Loans	9,473,493		9,734,013		9,814,642		9,248,678
Financial derivatives	30,011		30,011		19,139		19,139
Guarantee and commitment fees receivable	46,641		44,388		42,533		45,538
Financial liabilities:
Notes payable	22,811,953		23,474,095		22,716,791		22,716,156
Debt securities of consolidated trusts held by third parties	818,159		866,107		1,005,306		981,379
Financial derivatives	127,983		127,983		34,248		34,248
Guarantee and commitment obligations	45,243		42,990		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