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FAIR VALUE DISCLOSURES (Tables)

3 Months Ended

Mar. 31, 2025

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 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	$	—	$	—	$	19,353	$	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. Treasuries	1,314,718		—		—		1,314,718
Total Available-for-sale Investment Securities	1,314,718		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 derivatives	1		27,866		—		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	$	3	$	63,386	$	—	$	63,389
Total Liabilities at fair value	$	3	$	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 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

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.

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 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 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	$	19,476	$	—	$	—	$	—	$	—	$	(123)	$	19,353
Total available-for-sale	19,476		—		—		—		—		(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 Securities	9,015		—		(174)		—		—		31		8,872
Total available-for-sale	5,514,546		300,000		(276,028)		50		82,066		2,750		5,623,384
USDA Securities:
Trading	818		—		(175)		—		8		—		651
Total USDA Securities	818		—		(175)		—		8		—		651
Guarantee and commitment obligations:
Guarantee Asset	5,382		—		(86)		—		1		—		5,297
Total Guarantee and commitment obligations	5,382		—		(86)		—		1		—		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 Balance		Purchases		Settlements		Allowance 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	$	19,082	$	—	$	—	$	1	$	—	$	198	$	19,281
Total available-for-sale	19,082		—		—		1		—		198		19,281
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	5,522,712		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-sale	5,532,479		50,000		(64,132)		27		(80,694)		29,008		5,466,688
USDA Securities:
Trading	1,241		—		(174)		—		(1)		—		1,066
Total USDA Securities	1,241		—		(174)		—		(1)		—		1,066
Guarantee and commitment obligations:
Guarantee Asset	5,831		—		(85)		—		(13)		—		5,733
Total Guarantee and commitment obligations	5,831		—		(85)		—		(13)		—		5,733
Total Assets at fair value	$	5,558,633	$	50,000	$	(64,391)	$	28	$	(80,708)	$	29,206	$	5,492,768

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, 2025 and December 31, 2024:

Table 9.3

As of March 31, 2025

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

19,353

Indicative bids

Range of broker quotes

98.4% - 98.4% (98.4%)

Farmer Mac Guaranteed Securities:

AgVantage

5,614,512

Discounted cash flow

Discount rate

4.7% - 5.1% (4.8%)

Farmer Mac Guaranteed Securities

8,872

Discounted cash flow

Discount rate

8.0%

CPR

USDA Securities

651

Discounted cash flow

Discount rate

5.0% - 5.2% (5.1%)

CPR

11% - 14% (13%)

Guarantee Asset

5,297

Discounted cash flow

Discount rate

8.0%

CPR

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

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, 2025 and December 31, 2024:

Table 9.4


	As of March 31, 2025				As of December 31, 2024
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	1,048,135	$	1,048,135	$	1,024,007	$	1,024,007
Investment securities	6,252,795		6,252,486		5,973,571		5,973,301
Farmer Mac Guaranteed Securities	8,069,599		8,074,791		8,215,646		8,232,234
USDA Securities	2,172,063		2,377,341		2,113,342		2,371,352
Loans	13,476,915		13,623,484		12,924,604		13,204,638
Financial derivatives	27,867		27,867		27,789		27,789
Guarantee and commitment fees receivable	56,159		49,888		57,562		50,499
Financial liabilities:
Notes payable	27,479,303		27,975,196		26,759,873		27,371,174
Debt securities of consolidated trusts held by third parties	1,911,578		1,894,920		1,910,302		1,929,628
Financial derivatives	63,389		63,389		77,326		77,326
Guarantee and commitment obligations	53,950		47,679		55,388		48,326

- 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