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FAIR VALUE DISCLOSURES
3 Months Ended
Mar. 31, 2025
Fair Value Disclosures [Abstract]  
FAIR VALUE DISCLOSURES FAIR VALUE DISCLOSURES
Fair Value Classification and Transfers

The following tables present information about Farmer Mac's assets and liabilities measured at fair value on a recurring basis as of March 31, 2025 and December 31, 2024, 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, 2025
 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$— $— $19,353 $19,353 
Floating rate Government/GSE guaranteed mortgage-backed securities— 2,392,097 — 2,392,097 
Fixed rate GSE guaranteed mortgage-backed securities— 2,503,912 — 2,503,912 
Fixed rate U.S. Treasuries1,314,718 — — 1,314,718 
Total Available-for-sale Investment Securities1,314,718 4,896,009 19,353 6,230,080 
Farmer Mac Guaranteed Securities:    
Available-for-sale:    
AgVantage— — 5,614,512 5,614,512 
Farmer Mac Guaranteed Securities— — 8,872 8,872 
Total Farmer Mac Guaranteed Securities— — 5,623,384 5,623,384 
USDA Securities:    
Trading— — 651 651 
Total USDA Securities— — 651 651 
Loans:
Loans held for sale, at lower of cost or fair value— 6,045 — 6,045 
Total Loans
— 6,045 — 6,045 
Financial derivatives27,866 — 27,867 
Guarantee Asset— — 5,297 5,297 
Total Assets at fair value$1,314,719 $4,929,920 $5,648,685 $11,893,324 
Liabilities:    
Financial derivatives$$63,386 $— $63,389 
Total Liabilities at fair value$$63,386 $— $63,389 
(1) Level 3 assets represent 18% of total assets and 47% of financial instruments measured at fair value.
Assets and Liabilities Measured at Fair Value as of December 31, 2024
 Level 1Level 2
Level 3(1)
Total
 (in thousands)
Recurring: 
Assets:    
Investment Securities:    
Available-for-sale:    
Floating rate auction-rate certificates backed by Government guaranteed student loans$— $— $19,476 $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 
Fixed rate U.S. Treasuries1,289,846 — — 1,289,846 
Total Available-for-sale Investment Securities1,289,846 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 derivatives47 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.

There were no material assets or liabilities measured at fair value on a non-recurring basis as of March 31, 2025 or December 31, 2024.

Transfers in and/or out of the different levels within the fair value hierarchy are based on the fair values of the assets and liabilities as of the beginning of the reporting period. During the three months ended March 31, 2025 and 2024, there were no transfers within the fair value hierarchy.
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, 2025 and 2024.

Table 9.2
Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended March 31, 2025
Beginning BalancePurchasesSettlementsAllowance 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$19,476 $— $— $— $— $(123)$19,353 
Total available-for-sale19,476 — — — — (123)19,353 
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage
5,505,531 300,000 (275,854)50 82,066 2,719 5,614,512 
Farmer Mac Guaranteed Securities9,015 — (174)— — 31 8,872 
Total available-for-sale5,514,546 300,000 (276,028)50 82,066 2,750 5,623,384 
USDA Securities:
Trading818 — (175)— — 651 
Total USDA Securities818 — (175)— — 651 
Guarantee and commitment obligations:
Guarantee Asset5,382 — (86)— — 5,297 
Total Guarantee and commitment obligations5,382 — (86)— — 5,297 
Total Assets at fair value$5,540,222 $300,000 $(276,289)$50 $82,075 $2,627 $5,648,685 
Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended March 31, 2024
Beginning BalancePurchasesSettlementsAllowance for LossesRealized 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$19,082 $— $— $$— $198 $19,281 
Total available-for-sale19,082 — — — 198 19,281 
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage5,522,712 50,000 (63,955)27 (80,694)29,107 5,457,197 
Farmer Mac Guaranteed
Securities
9,767 — (177)— — (99)9,491 
Total available-for-sale5,532,479 50,000 (64,132)27 (80,694)29,008 5,466,688 
USDA Securities:
Trading1,241 — (174)— (1)— 1,066 
Total USDA Securities1,241 — (174)— (1)— 1,066 
Guarantee and commitment obligations:
Guarantee Asset5,831 — (85)— (13)— 5,733 
Total Guarantee and commitment obligations5,831 — (85)— (13)— 5,733 
Total Assets at fair value$5,558,633 $50,000 $(64,391)$28 $(80,708)$29,206 $5,492,768 
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, 2025 and December 31, 2024:

Table 9.3
As of March 31, 2025
Financial InstrumentsFair ValueValuation TechniqueUnobservable InputRange (Weighted-Average)
(in thousands)
Assets:
Investment securities:
Floating rate auction-rate certificates backed by Government guaranteed student loans$19,353 Indicative bidsRange of broker quotes
98.4% - 98.4% (98.4%)
Farmer Mac Guaranteed Securities:
AgVantage$5,614,512 Discounted cash flowDiscount rate
4.7% - 5.1% (4.8%)
Farmer Mac Guaranteed Securities$8,872 Discounted cash flowDiscount rate
8.0%
CPR
3%
USDA Securities$651 Discounted cash flowDiscount rate
5.0% - 5.2% (5.1%)
CPR
11% - 14% (13%)
Guarantee Asset$5,297 Discounted cash flowDiscount rate
8.0%
CPR
3%

As of December 31, 2024
Financial InstrumentsFair ValueValuation TechniqueUnobservable InputRange (Weighted-Average)
(in thousands)
Assets:
Investment securities:
Floating rate auction-rate certificates backed by Government guaranteed student loans$19,476 Indicative bidsRange of broker quotes
99.0% - 99.0% (99.0%)
Farmer Mac Guaranteed Securities:
AgVantage$5,505,531 Discounted cash flowDiscount rate
5.0% - 5.5% (5.1%)
Farmer Mac Guaranteed Securities$9,015 Discounted cash flowDiscount rate
7.9%
CPR
3%
USDA Securities$818 Discounted cash flowDiscount rate
5.3% - 5.4% (5.3%)
CPR
12% - 12% (12%)
Guarantee Asset$5,382 Discounted cash flowDiscount rate
7.9%
CPR
3%

The significant unobservable input used in the fair value measurements of AgVantage Farmer Mac Guaranteed Securities is the discount rate commensurate with the risks involved. Typically, significant increases (decreases) in this input in isolation may result in materially lower (higher) fair value measurements. Generally, in a rising interest rate environment, Farmer Mac would expect average discount rates to increase. Conversely, in a declining interest rate environment, Farmer Mac would expect average discount rates to decrease. CPR are not presented in the table above for AgVantage securities
because they generally have fixed maturity dates when the secured general obligations are due and do not prepay.

Disclosures on Fair Value of Financial Instruments

The following table sets forth the estimated fair values and carrying values for financial assets, liabilities, and guarantees and commitments as of March 31, 2025 and December 31, 2024:

Table 9.4
 As of March 31, 2025As of December 31, 2024
 Fair ValueCarrying
Amount
Fair ValueCarrying
Amount
 (in thousands)
Financial assets:    
Cash and cash equivalents$1,048,135 $1,048,135 $1,024,007 $1,024,007 
Investment securities6,252,795 6,252,486 5,973,571 5,973,301 
Farmer Mac Guaranteed Securities8,069,599 8,074,791 8,215,646 8,232,234 
USDA Securities2,172,063 2,377,341 2,113,342 2,371,352 
Loans13,476,915 13,623,484 12,924,604 13,204,638 
Financial derivatives27,867 27,867 27,789 27,789 
Guarantee and commitment fees receivable56,159 49,888 57,562 50,499 
Financial liabilities:
Notes payable27,479,303 27,975,196 26,759,873 27,371,174 
Debt securities of consolidated trusts held by third parties1,911,578 1,894,920 1,910,302 1,929,628 
Financial derivatives63,389 63,389 77,326 77,326 
Guarantee and commitment obligations53,950 47,679 55,388 48,326 

The carrying value of cash and cash equivalents is a reasonable estimate of their approximate fair value and is classified as Level 1. The fair value of investments in U.S. Treasuries are valued based on unadjusted quoted prices in active markets and are classified as Level 1. A significant portion of Farmer Mac's investment portfolio is valued using a reputable nationally recognized third-party pricing service. The prices obtained are non-binding and generally representative of recent market trades and are classified as Level 2. Farmer Mac internally models the fair value of its loan portfolio, including loans held for investment and loans held for investment in consolidated trusts, Farmer Mac Guaranteed Securities, and USDA Securities by discounting the projected cash flows of these instruments at projected interest rates. The fair values are based on the present value of expected cash flows using management's best estimate of certain key assumptions, which include prepayment speeds, forward yield curves and discount rates commensurate with the risks involved. These fair value measurements do not take into consideration the fair value of the underlying property and are classified as Level 3. Financial derivatives primarily are valued using the market standard methodology of netting the discounted future fixed cash payments (or receipts) and the discounted expected variable cash receipts (or payments) and are classified as Level 2. The fair value of the guarantee fees receivable/obligation and debt securities of consolidated trusts are estimated based on the present value of expected future cash flows of the underlying mortgage assets using management's best estimate of certain key assumptions, which include prepayments speeds, forward yield curves, and discount rates commensurate with the risks involved and are classified as Level 3. Notes payable are valued by discounting the expected cash flows of these instruments using a yield curve derived from market prices observed for similar agency securities and are also classified as Level 3. Because the cash flows of Farmer Mac's financial instruments may be interest rate path dependent,
estimated fair values and projected discount rates for Level 3 financial instruments are derived using a Monte Carlo simulation model. Different market assumptions and estimation methodologies could significantly affect estimated fair value amounts.