XML 39 R29.htm IDEA: XBRL DOCUMENT v3.23.3
Fair Value Disclosures (Tables)
 9 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
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, 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 September 30, 2023
 Level 1Level 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$— $— $19,033 $19,033 
Floating rate Government/GSE guaranteed mortgage-backed securities— 2,465,545 — 2,465,545 
Fixed rate GSE guaranteed mortgage-backed securities— 1,386,378 — 1,386,378 
Floating rate U.S. Treasuries50,011 — — 50,011 
Fixed rate U.S. Treasuries952,447 — — 952,447 
Total Available-for-sale Investment Securities1,002,458 3,851,923 19,033 4,873,414 
Farmer Mac Guaranteed Securities:    
Available-for-sale:    
AgVantage— — 5,048,708 5,048,708 
Farmer Mac Guaranteed Securities— — 9,989 9,989 
Total Farmer Mac Guaranteed Securities— — 5,058,697 5,058,697 
USDA Securities:    
Trading— — 1,302 1,302 
Total USDA Securities— — 1,302 1,302 
Financial derivatives81 28,774 — 28,855 
Guarantee Asset— — 5,963 5,963 
Total Assets at fair value$1,002,539 $3,880,697 $5,084,995 $9,968,231 
Liabilities:    
Financial derivatives$12 $188,350 $— $188,362 
Total Liabilities at fair value$12 $188,350 $— $188,362 
(1) Level 3 assets represent 18% of total assets and 50% of financial instruments measured at fair value.
Assets and Liabilities Measured at Fair Value as of December 31, 2022
 Level 1Level 2
Level 3(1)
Total
 (in thousands)
Recurring: 
Assets:    
Investment Securities:    
Available-for-sale:    
Floating rate auction-rate certificates backed by Government guaranteed student loans$— $— $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. Treasuries1,119,611 — — 1,119,611 
Total Available-for-sale Investment Securities1,119,611 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 and nine months ended September 30, 2023 and 2022.

Table 9.2
Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended September 30, 2023
Beginning BalancePurchasesSettlementsAllowance for Losses
Realized and
unrealized (losses)/gains included
in Income
Unrealized gains
included in Other
Comprehensive
Income
Transfers Out(1)
Ending Balance
(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans$19,032 $— $— $1 $— $— $— $19,033 
Total available-for-sale19,032 — — 1 — — — 19,033 
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage
7,737,810 100,000 (6,875)133 (107,917)9,653 (2,684,096)5,048,708 
Farmer Mac Guaranteed Securities7,605 — (169)— — 2,553 — 9,989 
Total available-for-sale7,745,415 100,000 (7,044)133 (107,917)12,206 (2,684,096)5,058,697 
USDA Securities:
Trading1,348 — (44)— (2)— — 1,302 
Total USDA Securities1,348 — (44)— (2)— — 1,302 
Guarantee and commitment obligations:
Guarantee Asset4,331 — (84)— 1,716 — — 5,963 
Total Guarantee and commitment obligations4,331 — (84)— 1,716 — — 5,963 
Total Assets at fair value$7,770,126 $100,000 $(7,172)$134 $(106,203)$12,206 $(2,684,096)$5,084,995 
(1) Includes $2.7 billion of AgVantage Securities transferred from available-for-sale to held-to-maturity on July 1, 2023.
Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended September 30, 2022
Beginning BalancePurchasesSettlementsAllowance 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-sale19,061 — — 11 — 171 19,243 
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage6,440,396 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-sale6,450,212 1,370,000 (627,599)(11)(204,450)(14,150)6,974,002 
USDA Securities:
Trading2,275 — (383)— (41)— 1,851 
Total USDA Securities2,275 — (383)— (41)— 1,851 
Guarantee and commitment obligations:
Guarantee Asset5,636 — (229)— (715)— 4,692 
Total Guarantee and commitment obligations5,636 — (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 Nine Months Ended September 30, 2023
Beginning BalancePurchasesSettlementsAllowance for LossesRealized and
unrealized (losses)/gains included
in Income		Unrealized gains
included in Other
Comprehensive
Income
Transfers Out(1)
Ending Balance
(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans$19,027 $— $— $6 $— $— $— $19,033 
Total available-for-sale19,027 — — 6 — — — 19,033 
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage
7,599,379 1,639,650 (1,405,674)173 (116,447)15,723 (2,684,096)5,048,708 
Farmer Mac Guaranteed Securities7,847 — (1,043)— — 3,185 — 9,989 
Total available-for-sale7,607,226 1,639,650 (1,406,717)173 (116,447)18,908 (2,684,096)5,058,697 
USDA Securities:
Trading1,767 — (479)— 14 — — 1,302 
Total USDA Securities1,767 — (479)— 14 — — 1,302 
Guarantee and commitment obligations:
Guarantee Asset4,467 — (506)— 2,002 — — 5,963 
Total Guarantee and commitment obligations4,467 — (506)— 2,002 — — 5,963 
Total Assets at fair value$7,632,487 $1,639,650 $(1,407,702)$179 $(114,431)$18,908 $(2,684,096)$5,084,995 
(1) Includes $2.7 billion of AgVantage Securities transferred from available-for-sale to held-to-maturity on July 1, 2023.
Level 3 Assets and Liabilities Measured at Fair Value for the Nine Months Ended September 30, 2022
Beginning BalancePurchasesSettlementsAllowance for LossesRealized 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-sale19,254 — — 14 — (25)19,243 
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage6,316,145 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-sale6,328,559 2,722,750 (1,436,963)(345)(564,242)(75,757)6,974,002 
USDA Securities:
Trading4,401 — (2,475)— (75)— 1,851 
Total USDA Securities4,401 — (2,475)— (75)— 1,851 
Guarantee and commitment obligations:
Guarantee Asset6,237 — (672)— (873)— 4,692 
Total Guarantee and commitment obligations6,237 — (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 
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, 2023 and December 31, 2022:

Table 9.3
As of September 30, 2023
Financial InstrumentsFair ValueValuation TechniqueUnobservable InputRange (Weighted-Average)
(in thousands)
Assets:
Investment securities:
Floating rate auction-rate certificates backed by Government guaranteed student loans$19,033 Indicative bidsRange of broker quotes
96.8% - 96.8% (96.8%)
Farmer Mac Guaranteed Securities:
AgVantage$5,048,708 Discounted cash flowDiscount rate
5.4% - 6.0% (5.7%)
Farmer Mac Guaranteed Securities$9,989 Discounted cash flowDiscount rate
8.5%
CPR
3%
USDA Securities$1,302 Discounted cash flowDiscount rate
5.9% - 6.1% (6.0%)
CPR
11% - 11% (11%)
Guarantee Asset$5,963 Discounted cash flowDiscount rate
8.5%
CPR
3%

As of December 31, 2022
Financial InstrumentsFair ValueValuation TechniqueUnobservable InputRange (Weighted-Average)
(in thousands)
Assets:
Investment securities:
Floating rate auction-rate certificates backed by Government guaranteed student loans$19,027 Indicative bidsRange of broker quotes
96.8% - 96.8% (96.8%)
Farmer Mac Guaranteed Securities:
AgVantage$7,599,379 Discounted cash flowDiscount rate
4.7% - 6.1% (5.1%)
Farmer Mac Guaranteed Securities$7,847 Discounted cash flowDiscount rate
4.8% - 5.3% (5.1%)
CPR
8%
USDA Securities$1,767 Discounted cash flowDiscount rate
5.1% - 5.7% (5.3%)
CPR
19% - 27% (25%)
Guarantee Asset$4,467 Discounted cash flowDiscount rate
5.4% - 5.9% (5.7%)
CPR
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, 2023 and December 31, 2022:

Table 9.4
 As of September 30, 2023As of December 31, 2022
 Fair ValueCarrying
Amount		Fair ValueCarrying
Amount
 (in thousands)
Financial assets:    
Cash and cash equivalents$782,318 $782,318 $861,002 $861,002 
Investment securities4,925,183 4,924,253 4,630,701 4,628,268 
Farmer Mac Guaranteed Securities9,170,053 9,216,111 8,573,781 8,628,380 
USDA Securities1,933,529 2,323,657 2,099,445 2,411,601 
Loans9,718,846 10,537,173 9,666,710 10,205,466 
Financial derivatives28,855 28,855 37,409 37,409 
Guarantee and commitment fees receivable58,819 49,809 50,653 47,151 
Financial liabilities:
Notes payable24,224,819 25,123,545 23,591,330 24,469,113 
Debt securities of consolidated trusts held by third parties1,209,757 1,334,014 1,106,837 1,181,948 
Financial derivatives188,362 188,362 175,326 175,326 
Guarantee and commitment obligations56,617 47,607 50,083 46,582