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Fair Value Disclosures (Tables)

12 Months Ended

Dec. 31, 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 December 31, 2022 and 2021, respectively, and indicate the fair value hierarchy of the valuation techniques used by Farmer Mac to determine such fair value:

Table 13.1


Assets and Liabilities Measured at Fair Value as of December 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	$	—	$	—	$	19,027	$	19,027


Floating rate Government/GSE guaranteed mortgage-backed securities	—		2,392,540		—		2,392,540
Fixed rate GSE guaranteed mortgage-backed securities	—		1,048,386		—		1,048,386

Fixed rate U.S. Treasuries	1,119,611		—		—		1,119,611
Total Available-for-sale Investment Securities	1,119,611		3,440,926		19,027		4,579,564
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		7,599,379		7,599,379
Farmer Mac Guaranteed Securities	—		—		7,847		7,847
Total Farmer Mac Guaranteed Securities	—		—		7,607,226		7,607,226
USDA Securities:
Trading	—		—		1,767		1,767
Total USDA Securities	—		—		1,767		1,767
Financial derivatives	—		37,409		—		37,409
Guarantee Asset	—		—		4,467		4,467
Total Assets at fair value	$	1,119,611	$	3,478,335	$	7,632,487	$	12,230,433
Liabilities:
Financial derivatives	$	142	$	175,184	$	—	$	175,326
Total Liabilities at fair value	$	142	$	175,184	$	—	$	175,326

(1) Level 3 assets represent 28% of total assets and 62% 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 years ended December 31, 2022 and 2021.

Table 13.2


Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2022
	Beginning Balance		Purchases		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	$	—	$	—	$	19	$	—	$	(246)	$	19,027
Total available-for-sale	19,254		—		—		19		—		(246)		19,027
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	6,316,145		3,411,665		(1,526,303)		(283)		(552,907)		(48,938)		7,599,379
Farmer Mac Guaranteed Securities	12,414		—		(1,675)		—		—		(2,892)		7,847
Total available-for-sale	6,328,559		3,411,665		(1,527,978)		(283)		(552,907)		(51,830)		7,607,226
USDA Securities:

Trading	4,401		—		(2,583)		—		(51)		—		1,767
Total USDA Securities	4,401		—		(2,583)		—		(51)		—		1,767
Guarantee and commitment obligations:
Guarantee Asset	6,237		—		(903)		—		(867)		—		4,467
Total Guarantee and commitment obligations	6,237		—		(903)		—		(867)		—		4,467
Total Assets at fair value	$	6,358,451	$	3,411,665	$	(1,531,464)	$	(264)	$	(553,825)	$	(52,076)	$	7,632,487


Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2021
	Beginning Balance		Purchases		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)	$	—	$	99	$	19,254
Total available-for-sale	19,171		—		—		(16)		—		99		19,254
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	6,947,701		1,143,115		(1,614,598)		47		(176,064)		15,944		6,316,145
Farmer Mac Guaranteed Securities	—		12,560		(263)		—		—		117		12,414
Total available-for-sale	6,947,701		1,155,675		(1,614,861)		47		(176,064)		16,061		6,328,559
USDA Securities:

Trading	6,695		—		(2,178)		—		(116)		—		4,401
Total USDA Securities	6,695		—		(2,178)		—		(116)		—		4,401
Guarantee and commitment obligations:
Guarantee Asset	—		6,237		—		—		—		—		6,237
Total Guarantee and commitment obligations	—		6,237		—		—		—		—		6,237
Total Assets at fair value	$	6,973,567	$	1,161,912	$	(1,617,039)	$	31	$	(176,180)	$	16,160	$	6,358,451


Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2020
	Beginning Balance		Purchases		Settlements		Allowance for Losses		Realized and unrealized 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	$	18,912	$	—	$	—	$	(36)	$	—	$	295	$	19,171
Total available-for-sale	18,912		—		—		(36)		—		295		19,171
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	7,143,025		974,237		(1,397,861)		(309)		202,706		25,903		6,947,701
Total available-for-sale	7,143,025		974,237		(1,397,861)		(309)		202,706		25,903		6,947,701
USDA Securities:

Trading	8,913		—		(2,269)		—		51		—		6,695
Total USDA Securities	8,913		—		(2,269)		—		51		—		6,695
Total Assets at fair value	$	7,170,850	$	974,237	$	(1,400,130)	$	(345)	$	202,757	$	26,198	$	6,973,567

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 December 31, 2022 and 2021:

Table 13.3

As of December 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

19,027

Indicative bids

Range of broker quotes

96.8% - 96.8% (96.8%)

Farmer Mac Guaranteed Securities:

AgVantage

7,599,379

Discounted cash flow

Discount rate

4.7% - 6.1% (5.1%)

Farmer Mac Guaranteed Securities

7,847

Discounted cash flow

Discount rate

4.8% - 5.3% (5.1%)

CPR

USDA Securities

1,767

Discounted cash flow

Discount rate

5.1% - 5.7% (5.3%)

CPR

19% - 27% (25%)

Guarantee Asset

4,467

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 December 31, 2022 and 2021:

Table 13.4


	As of December 31, 2022				As of December 31, 2021
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	861,002	$	861,002	$	908,785	$	908,785
Investment securities	4,630,701		4,628,268		3,884,202		3,882,590
Farmer Mac Guaranteed Securities	8,573,781		8,628,380		8,360,293		8,361,798
USDA Securities	2,099,445		2,411,601		2,536,473		2,440,732
Loans	9,666,710		10,208,307		9,814,642		9,248,678
Financial derivatives	37,409		37,409		6,081		6,081
Guarantee and commitment fees receivable	50,653		47,151		42,533		45,538
Financial liabilities:
Notes payable	23,591,330		24,469,113		22,716,791		22,713,771
Debt securities of consolidated trusts held by third parties	1,106,837		1,181,948		1,005,306		981,379
Financial derivatives	175,326		175,326		35,554		35,554
Guarantee and commitment obligations	50,083		46,582		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