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FAIR VALUE DISCLOSURES (Tables)

6 Months Ended

Jun. 30, 2024

The following tables present information about Farmer Mac's assets and liabilities measured at fair value on a recurring basis as of June 30, 2024 and December 31, 2023, 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, 2024
	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	$	—	$	—	$	19,478	$	19,478
Floating rate Government/GSE guaranteed mortgage-backed securities	—		2,244,900		—		2,244,900
Fixed rate GSE guaranteed mortgage-backed securities	—		1,913,762		—		1,913,762
Floating rate U.S. Treasuries	49,990		—		—		49,990
Fixed rate U.S. Treasuries	1,020,585		—		—		1,020,585
Total Available-for-sale Investment Securities	1,070,575		4,158,662		19,478		5,248,715
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		5,389,841		5,389,841
Farmer Mac Guaranteed Securities	—		—		9,310		9,310
Total Farmer Mac Guaranteed Securities	—		—		5,399,151		5,399,151
USDA Securities:
Trading	—		—		1,026		1,026
Total USDA Securities	—		—		1,026		1,026
Financial derivatives	163		53,523		—		53,686
Guarantee Asset	—		—		5,559		5,559
Total Assets at fair value	$	1,070,738	$	4,212,185	$	5,425,214	$	10,708,137
Liabilities:
Financial derivatives	$	4	$	118,417	$	—	$	118,421
Total Liabilities at fair value	$	4	$	118,417	$	—	$	118,421

(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, 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	$	—	$	—	$	19,082	$	19,082
Floating rate Government/GSE guaranteed mortgage-backed securities	—		2,424,434		—		2,424,434
Fixed rate GSE guaranteed mortgage-backed securities	—		1,569,615		—		1,569,615
Floating rate U.S. Treasuries	49,968		—		—		49,968
Fixed rate U.S. Treasuries	855,832		—		—		855,832
Total Available-for-sale Investment Securities	905,800		3,994,049		19,082		4,918,931
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		5,522,712		5,522,712
Farmer Mac Guaranteed Securities	—		—		9,767		9,767
Total Farmer Mac Guaranteed Securities	—		—		5,532,479		5,532,479
USDA Securities:
Trading	—		—		1,241		1,241
Total USDA Securities	—		—		1,241		1,241
Financial derivatives	11		37,467		—		37,478
Guarantee Asset	—		—		5,831		5,831
Total Assets at fair value	$	905,811	$	4,031,516	$	5,558,633	$	10,495,960
Liabilities:
Financial derivatives	$	91	$	117,040	$	—	$	117,131
Total Liabilities at fair value	$	91	$	117,040	$	—	$	117,131

(1) Level 3 assets represent 19% of total assets and 52% of financial instruments measured at fair value.

Schedule of 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, 2024 and 2023.

Table 9.2


Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended June 30, 2024
	Beginning Balance		Purchases		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	$	19,281	$	—	$	—	$	1	$	—	$	196	$	19,478
Total available-for-sale	19,281		—		—		1		—		196		19,478
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	5,457,197		225,000		(280,833)		29		(6,460)		(5,092)		5,389,841
Farmer Mac Guaranteed Securities	9,491		—		(171)		—		—		(10)		9,310
Total available-for-sale	5,466,688		225,000		(281,004)		29		(6,460)		(5,102)		5,399,151
USDA Securities:

Trading	1,066		—		(43)		—		3		—		1,026
Total USDA Securities	1,066		—		(43)		—		3		—		1,026
Guarantee and commitment obligations:
Guarantee Asset	5,733		—		(85)		—		(89)		—		5,559
Total Guarantee and commitment obligations	5,733		—		(85)		—		(89)		—		5,559
Total Assets at fair value	$	5,492,768	$	225,000	$	(281,132)	$	30	$	(6,546)	$	(4,906)	$	5,425,214


Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended June 30, 2023
	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	$	19,031	$	—	$	—	$	1	$	—	$	—	$	19,032
Total available-for-sale	19,031		—		—		1		—		—		19,032
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	8,217,420		852,000		(1,257,413)		8		(101,872)		27,667		7,737,810
Farmer Mac Guaranteed Securities	8,034		—		(441)		—		—		12		7,605
Total available-for-sale	8,225,454		852,000		(1,257,854)		8		(101,872)		27,679		7,745,415
USDA Securities:
Trading	1,405		—		(48)		—		(9)		—		1,348
Total USDA Securities	1,405		—		(48)		—		(9)		—		1,348
Guarantee and commitment obligations:
Guarantee Asset	4,570		—		(191)		—		(48)		—		4,331
Total Guarantee and commitment obligations	4,570		—		(191)		—		(48)		—		4,331
Total Assets at fair value	$	8,250,460	$	852,000	$	(1,258,093)	$	9	$	(101,929)	$	27,679	$	7,770,126


Level 3 Assets and Liabilities Measured at Fair Value for the Six Months Ended June 30, 2024
	Beginning Balance		Purchases		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	$	19,082	$	—	$	—	$	2	$	—	$	394	$	19,478
Total available-for-sale	19,082		—		—		2		—		394		19,478
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	5,522,712		275,000		(344,788)		56		(87,155)		24,016		5,389,841
Farmer Mac Guaranteed Securities	9,767		—		(348)		—		—		(109)		9,310
Total available-for-sale	5,532,479		275,000		(345,136)		56		(87,155)		23,907		5,399,151
USDA Securities:
Trading	1,241		—		(216)		—		1		—		1,026
Total USDA Securities	1,241		—		(216)		—		1		—		1,026
Guarantee and commitment obligations:
Guarantee Asset	5,831		—		(170)		—		(102)		—		5,559
Total Guarantee and commitment obligations	5,831		—		(170)		—		(102)		—		5,559
Total Assets at fair value	$	5,558,633	$	275,000	$	(345,522)	$	58	$	(87,256)	$	24,301	$	5,425,214


Level 3 Assets and Liabilities Measured at Fair Value for the Six Months Ended June 30, 2023
	Beginning Balance		Purchases		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	$	19,027	$	—	$	—	$	5	$	—	$	—	$	19,032
Total available-for-sale	19,027		—		—		5		—		—		19,032
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	7,599,379		1,539,650		(1,398,799)		40		(8,530)		6,070		7,737,810
Farmer Mac Guaranteed Securities	7,847		—		(874)		—		—		632		7,605
Total available-for-sale	7,607,226		1,539,650		(1,399,673)		40		(8,530)		6,702		7,745,415
USDA Securities:
Trading	1,767		—		(435)		—		16		—		1,348
Total USDA Securities	1,767		—		(435)		—		16		—		1,348
Guarantee and commitment obligations:
Guarantee Asset	4,467		—		(422)		—		286		—		4,331
Total Guarantee and commitment obligations	4,467		—		(422)		—		286		—		4,331
Total Assets at fair value	$	7,632,487	$	1,539,650	$	(1,400,530)	$	45	$	(8,228)	$	6,702	$	7,770,126

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 June 30, 2024 and December 31, 2023:

Table 9.3

As of June 30, 2024

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

19,478

Indicative bids

Range of broker quotes

99.0% - 99.0% (99.0%)

Farmer Mac Guaranteed Securities:

AgVantage

5,389,841

Discounted cash flow

Discount rate

5.1% - 6.0% (5.4%)

Farmer Mac Guaranteed Securities

9,310

Discounted cash flow

Discount rate

7.6%

CPR

USDA Securities

1,026

Discounted cash flow

Discount rate

5.9% - 6.0% (5.9%)

CPR

12% - 12% (12%)

Guarantee Asset

5,559

Discounted cash flow

Discount rate

7.6%

CPR

As of December 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

19,082

Indicative bids

Range of broker quotes

97.0% - 97.0% (97.0%)

Farmer Mac Guaranteed Securities:

AgVantage

5,522,712

Discounted cash flow

Discount rate

4.7% - 5.4% (5.0%)

Farmer Mac Guaranteed Securities

9,767

Discounted cash flow

Discount rate

8.3%

CPR

USDA Securities

1,241

Discounted cash flow

Discount rate

5.4% - 5.4% (5.4%)

CPR

12% - 12% (12%)

Guarantee Asset

5,831

Discounted cash flow

Discount rate

8.3%

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 June 30, 2024 and December 31, 2023:

Table 9.4


	As of June 30, 2024				As of December 31, 2023
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	922,961	$	922,961	$	888,707	$	888,707
Investment securities	5,265,609		5,265,383		4,981,249		4,979,504
Farmer Mac Guaranteed Securities	9,304,940		9,328,219		9,710,074		9,745,548
USDA Securities	1,996,586		2,331,561		2,036,046		2,355,412
Loans	11,114,479		11,786,508		10,426,021		11,039,349
Financial derivatives	53,686		53,686		37,478		37,478
Guarantee and commitment fees receivable	54,220		46,754		58,465		49,832
Financial liabilities:
Notes payable	25,848,684		26,542,671		25,670,971		26,336,542
Debt securities of consolidated trusts held by third parties	1,577,031		1,662,549		1,268,563		1,351,069
Financial derivatives	118,421		118,421		117,131		117,131
Guarantee and commitment obligations	52,224		44,758		56,195		47,563

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References + Details