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Fair Value Disclosures (Tables)

9 Months Ended

Sep. 30, 2022

Schedule of 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, 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 September 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	$	—	$	—	$	19,243	$	19,243


Floating rate Government/GSE guaranteed mortgage-backed securities	—		2,360,528		—		2,360,528
Fixed rate GSE guaranteed mortgage-backed securities	—		841,704		—		841,704

Fixed rate U.S. Treasuries	1,180,404		—		—		1,180,404
Total Available-for-sale Investment Securities	1,180,404		3,202,232		19,243		4,401,879
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		6,965,761		6,965,761
Farmer Mac Guaranteed Securities	—		—		8,241		8,241
Total Farmer Mac Guaranteed Securities	—		—		6,974,002		6,974,002
USDA Securities:
Trading	—		—		1,851		1,851
Total USDA Securities	—		—		1,851		1,851
Financial derivatives	536		49,432		—		49,968
Guarantee Asset	—		—		4,692		4,692
Total Assets at fair value	$	1,180,940	$	3,251,664	$	6,999,788	$	11,432,392
Liabilities:
Financial derivatives	$	18	$	184,536	$	—	$	184,554
Total Liabilities at fair value	$	18	$	184,536	$	—	$	184,554

(1) Level 3 assets represent 26% 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		6,008		—		6,081
Guarantee Asset	—		—		6,237		6,237
Total Assets at fair value	$	1,179,542	$	2,643,676	$	6,358,451	$	10,181,669
Liabilities:
Financial derivatives	$	—	$	35,554	$	—	$	35,554
Total Liabilities at fair value	$	—	$	35,554	$	—	$	35,554

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.

Schedule of 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, 2022 and 2021.

Table 9.2


Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended September 30, 2022
	Beginning Balance		Purchases		Sales		Settlements		Allowance for Losses		Realized and unrealized 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	$	19,061	$	—	$	—	$	—	$	11	$	—	$	171	$	19,243
Total available-for-sale	19,061		—		—		—		11		—		171		19,243
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	6,440,396		1,370,000		—		(627,131)		(11)		(204,450)		(13,043)		6,965,761
Farmer Mac Guaranteed Securities	9,816		—		—		(468)		—		—		(1,107)		8,241
Total available-for-sale	6,450,212		1,370,000		—		(627,599)		(11)		(204,450)		(14,150)		6,974,002
USDA Securities:

Trading	2,275		—		—		(383)		—		(41)		—		1,851
Total USDA Securities	2,275		—		—		(383)		—		(41)		—		1,851
Guarantee and commitment obligations:
Guarantee Asset	5,636		—		—		(229)		—		(715)		—		4,692
Total Guarantee and commitment obligations	5,636		—		—		(229)		—		(715)		—		4,692
Total Assets at fair value	$	6,477,184	$	1,370,000	$	—	$	(628,211)	$	—	$	(205,206)	$	(13,979)	$	6,999,788


Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended September 30, 2021
	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	$	19,248	$	—	$	—	$	—	$	6	$	—	$	246	$	19,500
Total available-for-sale	19,248		—		—		—		6		—		246		19,500
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	6,877,405		—		—		(708,882)		(70)		(31,462)		1,768		6,138,759
Total available-for-sale	6,877,405		—		—		(708,882)		(70)		(31,462)		1,768		6,138,759
USDA Securities:

Trading	5,050		—		—		(294)		—		37		—		4,793
Total USDA Securities	5,050		—		—		(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 Nine Months Ended September 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	$	—	$	—	$	—	$	14	$	—	$	(25)	$	19,243
Total available-for-sale	19,254		—		—		—		14		—		(25)		19,243
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	6,316,145		2,722,750		—		(1,435,758)		(345)		(564,242)		(72,789)		6,965,761
Farmer Mac Guaranteed Securities	12,414		—		—		(1,205)		—		—		(2,968)		8,241
Total available-for-sale	6,328,559		2,722,750		—		(1,436,963)		(345)		(564,242)		(75,757)		6,974,002
USDA Securities:

Trading	4,401		—		—		(2,475)		—		(75)		—		1,851
Total USDA Securities	4,401		—		—		(2,475)		—		(75)		—		1,851
Guarantee and commitment obligations:
Guarantee Asset	6,237		—		—		(672)		—		(873)		—		4,692
Total Guarantee and commitment obligations	6,237		—		—		(672)		—		(873)		—		4,692
Total Assets at fair value	$	6,358,451	$	2,722,750	$	—	$	(1,440,110)	$	(331)	$	(565,190)	$	(75,782)	$	6,999,788


Level 3 Assets and Liabilities Measured at Fair Value for the Nine Months Ended September 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	$	—	$	—	$	—	$	(16)	$	—	$	345	$	19,500
Total available-for-sale	19,171		—		—		—		(16)		—		345		19,500
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	6,947,701		578,115		—		(1,263,117)		19		(150,265)		26,306		6,138,759
Total available-for-sale	6,947,701		578,115		—		(1,263,117)		19		(150,265)		26,306		6,138,759
USDA Securities:

Trading	6,695		—		—		(1,864)		—		(38)		—		4,793
Total USDA Securities	6,695		—		—		(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

Schedule of 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, 2022 and December 31, 2021:

Table 9.3

As of September 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

19,243

Indicative bids

Range of broker quotes

97.9% - 97.9% (97.9%)

Farmer Mac Guaranteed Securities:

AgVantage

6,965,761

Discounted cash flow

Discount rate

4.6% - 5.1% (4.9%)

Farmer Mac Guaranteed Securities

8,241

Discounted cash flow

Discount rate

4.9% - 5.4% (5.1%)

CPR

USDA Securities

1,851

Discounted cash flow

Discount rate

5.6% - 6.4% (5.8%)

CPR

19% - 24% (23%)

Guarantee Asset

4,692

Discounted cash flow

Discount rate

5.4% - 5.9% (5.7%)

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

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%)

Schedule of 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, 2022 and December 31, 2021:

Table 9.4


	As of September 30, 2022				As of December 31, 2021
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	868,234	$	868,234	$	908,785	$	908,785
Investment securities	4,447,259		4,449,017		3,884,202		3,882,590
Farmer Mac Guaranteed Securities	8,239,615		8,302,041		8,360,293		8,361,798
USDA Securities	2,032,548		2,430,489		2,536,473		2,440,732
Loans	8,965,973		9,925,184		9,814,642		9,248,678
Financial derivatives	49,968		49,968		6,081		6,081
Guarantee and commitment fees receivable	49,328		46,347		42,533		45,538
Financial liabilities:
Notes payable	22,578,047		23,500,657		22,716,791		22,713,771
Debt securities of consolidated trusts held by third parties	977,411		1,090,539		1,005,306		981,379
Financial derivatives	184,554		184,554		35,554		35,554
Guarantee and commitment obligations	48,705		45,726		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