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FAIR VALUE DISCLOSURES (Tables)

12 Months Ended

Dec. 31, 2024

The following tables present information about Farmer Mac's assets and liabilities measured at fair value on a recurring basis as of December 31, 2024 and 2023, 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, 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	$	—	$	—	$	19,476	$	19,476
Floating rate Government/GSE guaranteed mortgage-backed securities	—		2,305,725		—		2,305,725
Fixed rate GSE guaranteed mortgage-backed securities	—		2,337,967		—		2,337,967
Floating rate U.S. Treasuries	—		—		—		—
Fixed rate U.S. Treasuries	1,289,846		—		—		1,289,846
Total Available-for-sale Investment Securities	1,289,846		4,643,692		19,476		5,953,014
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		5,505,531		5,505,531
Farmer Mac Guaranteed Securities	—		—		9,015		9,015
Total Farmer Mac Guaranteed Securities	—		—		5,514,546		5,514,546
USDA Securities:
Trading	—		—		818		818
Total USDA Securities	—		—		818		818
Loans:
Loans held for sale, at lower of cost or fair value	—		6,160		—		6,160
Total Loans	—		6,160		—		6,160
Financial derivatives	47		27,742		—		27,789
Guarantee Asset	—		—		5,382		5,382
Total Assets at fair value	$	1,289,893	$	4,677,594	$	5,540,222	$	11,507,709
Liabilities:
Financial derivatives	$	—	$	77,326	$	—	$	77,326
Total Liabilities at fair value	$	—	$	77,326	$	—	$	77,326

(1) Level 3 assets represent 18% of total assets and 48% 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 years ended December 31, 2024, 2023, and 2022.

Table 13.2


Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 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	$	—	$	—	$	—	$	—	$	394	$	19,476
Total available-for-sale	19,082		—		—		—		—		394		19,476
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	5,522,712		677,400		(666,476)		81		(49,727)		21,541		5,505,531
Farmer Mac Guaranteed Securities	9,767		—		(699)		—		—		(53)		9,015
Total available-for-sale	5,532,479		677,400		(667,175)		81		(49,727)		21,488		5,514,546
USDA Securities:
Trading	1,241		—		(443)		—		20		—		818
Total USDA Securities	1,241		—		(443)		—		20		—		818
Guarantee and commitment obligations:
Guarantee Asset	5,831		—		(343)		—		(106)		—		5,382
Total Guarantee and commitment obligations	5,831		—		(343)		—		(106)		—		5,382
Total Assets at fair value	$	5,558,633	$	677,400	$	(667,961)	$	81	$	(49,813)	$	21,882	$	5,540,222


Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2023
	Beginning Balance		Purchases		Settlements		Allowance for Losses		Realized and unrealized gains included in Income		Unrealized gains/(losses) 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	$	—	$	49	$	—	$	19,082
Total available-for-sale	19,027		—		—		6		—		49		—		19,082
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	7,599,379		2,084,650		(1,561,507)		230		89,629		(5,573)		(2,684,096)		5,522,712
Farmer Mac Guaranteed Securities	7,847		—		(1,213)		—		—		3,133		—		9,767
Total available-for-sale	7,607,226		2,084,650		(1,562,720)		230		89,629		(2,440)		(2,684,096)		5,532,479
USDA Securities:
Trading	1,767		—		(550)		—		24		—		—		1,241
Total USDA Securities	1,767		—		(550)		—		24		—		—		1,241
Guarantee and commitment obligations:
Guarantee Asset	4,467		—		(590)		—		1,954		—		—		5,831
Total Guarantee and commitment obligations	4,467		—		(590)		—		1,954		—		—		5,831
Total Assets at fair value	$	7,632,487	$	2,084,650	$	(1,563,860)	$	236	$	91,607	$	(2,391)	$	(2,684,096)	$	5,558,633

(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 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

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, 2024 and 2023:

Table 13.3

As of December 31, 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

19,476

Indicative bids

Range of broker quotes

99.0% - 99.0% (99.0%)

Farmer Mac Guaranteed Securities:

AgVantage

5,505,531

Discounted cash flow

Discount rate

5.0% - 5.5% (5.1%)

Farmer Mac Guaranteed Securities

9,015

Discounted cash flow

Discount rate

7.9%

CPR

USDA Securities

818

Discounted cash flow

Discount rate

5.3% - 5.4% (5.3%)

CPR

12% - 12% (12%)

Guarantee Asset

5,382

Discounted cash flow

Discount rate

7.9%

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 December 31, 2024 and 2023:

Table 13.4


	As of December 31, 2024				As of December 31, 2023
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	1,024,007	$	1,024,007	$	888,707	$	888,707
Investment securities	5,973,571		5,973,301		4,981,249		4,979,504
Farmer Mac Guaranteed Securities	8,215,646		8,232,234		9,710,074		9,745,548
USDA Securities	2,113,342		2,371,352		2,036,046		2,355,412
Loans	12,924,604		13,204,638		10,426,021		11,039,349
Financial derivatives	27,789		27,789		37,478		37,478
Guarantee and commitment fees receivable	57,562		50,499		58,465		49,832
Financial liabilities:
Notes payable	26,759,873		27,371,174		25,670,971		26,336,542
Debt securities of consolidated trusts held by third parties	1,910,302		1,929,628		1,268,563		1,351,069
Financial derivatives	77,326		77,326		117,131		117,131
Guarantee and commitment obligations	55,388		48,326		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