XML 38 R28.htm IDEA: XBRL DOCUMENT

Fair Value Disclosures (Tables)

3 Months Ended

Mar. 31, 2023

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 March 31, 2023 and December 31, 2022, 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, 2023
	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	$	—	$	—	$	19,031	$	19,031


Floating rate Government/GSE guaranteed mortgage-backed securities	—		2,450,585		—		2,450,585
Fixed rate GSE guaranteed mortgage-backed securities	—		1,254,848		—		1,254,848

Fixed rate U.S. Treasuries	923,000		—		—		923,000
Total Available-for-sale Investment Securities	923,000		3,705,433		19,031		4,647,464
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		8,217,420		8,217,420
Farmer Mac Guaranteed Securities	—		—		8,034		8,034
Total Farmer Mac Guaranteed Securities	—		—		8,225,454		8,225,454
USDA Securities:
Trading	—		—		1,405		1,405
Total USDA Securities	—		—		1,405		1,405
Financial derivatives	614		24,485		—		25,099
Guarantee Asset	—		—		4,570		4,570
Total Assets at fair value	$	923,614	$	3,729,918	$	8,250,460	$	12,903,992
Liabilities:
Financial derivatives	$	—	$	166,963	$	—	$	166,963
Total Liabilities at fair value	$	—	$	166,963	$	—	$	166,963

(1) Level 3 assets represent 30% of total assets and 63% of financial instruments measured at fair value.


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.

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 months ended March 31, 2023 and 2022.

Table 9.2


Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended March 31, 2023
	Beginning Balance		Purchases		Settlements		Allowance for Losses		Realized and unrealized gains included in Income		Unrealized (losses)/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	$	19,027	$	—	$	—	$	4	$	—	$	—	$	19,031
Total available-for-sale	19,027		—		—		4		—		—		19,031
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	7,599,379		687,650		(141,386)		32		93,342		(21,597)		8,217,420
Farmer Mac Guaranteed Securities	7,847		—		(433)		—		—		620		8,034
Total available-for-sale	7,607,226		687,650		(141,819)		32		93,342		(20,977)		8,225,454
USDA Securities:

Trading	1,767		—		(387)		—		25		—		1,405
Total USDA Securities	1,767		—		(387)		—		25		—		1,405
Guarantee and commitment obligations:
Guarantee Asset	4,467		—		(231)		—		334		—		4,570
Total Guarantee and commitment obligations	4,467		—		(231)		—		334		—		4,570
Total Assets at fair value	$	7,632,487	$	687,650	$	(142,437)	$	36	$	93,701	$	(20,977)	$	8,250,460


Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended March 31, 2022
	Beginning Balance		Purchases		Settlements		Allowance for Losses		Realized and unrealized (losses)/gains 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	$	—	$	—	$	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

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 March 31, 2023 and December 31, 2022:

Table 9.3

As of March 31, 2023

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

19,031

Indicative bids

Range of broker quotes

96.8% - 96.8% (96.8%)

Farmer Mac Guaranteed Securities:

AgVantage

8,217,420

Discounted cash flow

Discount rate

4.4% - 6.3% (5.0%)

Farmer Mac Guaranteed Securities

8,034

Discounted cash flow

Discount rate

4.4% - 4.9% (4.7%)

CPR

USDA Securities

1,405

Discounted cash flow

Discount rate

4.9% - 5.2% (5.1%)

CPR

13% - 13% (13%)

Guarantee Asset

4,570

Discounted cash flow

Discount rate

5.0% - 5.5% (5.2%)

CPR

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

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 March 31, 2023 and December 31, 2022:

Table 9.4


	As of March 31, 2023				As of December 31, 2022
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	864,594	$	864,594	$	861,002	$	861,002
Investment securities	4,696,779		4,696,168		4,630,701		4,628,268
Farmer Mac Guaranteed Securities	9,175,211		9,219,420		8,573,781		8,628,380
USDA Securities	2,143,982		2,360,333		2,099,445		2,411,601
Loans	10,063,805		10,368,340		9,666,710		10,205,466
Financial derivatives	25,099		25,099		37,409		37,409
Guarantee and commitment fees receivable	54,060		46,670		50,653		47,151
Financial liabilities:
Notes payable	24,088,548		24,837,391		23,591,330		24,469,113
Debt securities of consolidated trusts held by third parties	1,365,378		1,374,332		1,106,837		1,181,948
Financial derivatives	166,963		166,963		175,326		175,326
Guarantee and commitment obligations	53,503		46,114		50,083		46,582

- 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