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Fair Value Disclosures (Tables)

12 Months Ended

Dec. 31, 2020

Fair Value Disclosures [Abstract]

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 December 31, 2020 and 2019, 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, 2020
			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			$	—					$	—					$	19,171					$	19,171
Floating rate asset-backed securities			—						6,231						—						6,231
Floating rate Government/GSE guaranteed mortgage-backed securities			—						2,360,026						—						2,360,026
Fixed rate GSE guaranteed mortgage-backed securities			—						313						—						313
Fixed rate U.S. Treasuries			1,467,951						—						—						1,467,951
Total Investment Securities			1,467,951						2,366,570						19,171						3,853,692
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage			—						—						6,947,701						6,947,701
Total Farmer Mac Guaranteed Securities			—						—						6,947,701						6,947,701
USDA Securities:
Trading			—						—						6,695						6,695
Total USDA Securities			—						—						6,695						6,695
Financial derivatives			—						17,468						—						17,468
Total Assets at fair value			$	1,467,951					$	2,384,038					$	6,973,567					$	10,825,556
Liabilities:
Financial derivatives			$	82					$	29,810					$	—					$	29,892
Total Liabilities at fair value			$	82					$	29,810					$	—					$	29,892

(1) Level 3 assets represent 29% of total assets and 65% of financial instruments measured at fair value.

Assets and Liabilities Measured at Fair Value as of December 31, 2019
			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			$	—					$	—					$	18,912					$	18,912
Floating rate asset-backed securities			—						11,085						—						11,085
Floating rate Government/GSE guaranteed mortgage-backed securities			—						1,632,583						—						1,632,583
Fixed rate GSE guaranteed mortgage-backed securities			—						340						—						340
Fixed rate U.S. Treasuries			1,296,923						—						—						1,296,923
Total available-for-sale			1,296,923						1,644,008						18,912						2,959,843
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage			—						—						7,143,025						7,143,025
Total Farmer Mac Guaranteed Securities			—						—						7,143,025						7,143,025
USDA Securities:
Trading			—						—						8,913						8,913
Total USDA Securities			—						—						8,913						8,913
Financial derivatives			—						10,519						—						10,519
Total Assets at fair value			$	1,296,923					$	1,654,527					$	7,170,850					$	10,122,300
Liabilities:
Financial derivatives			$	51					$	26,991					$	—					$	27,042
Total Liabilities at fair value			$	51					$	26,991					$	—					$	27,042

(1) Level 3 assets represent 33% of total assets and 71% of financial instruments measured at fair value.

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 years ended December 31, 2020 and 2019.

Table 13.2

Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2020
			Beginning Balance						Purchases						Sales						Settlements						Allowance for Losses						Realized and unrealized 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			$	18,912					$	—					$	—					$	—					$	(36)					$	—					$	295					$	19,171
Total available-for-sale			18,912						—						—						—						(36)						—						295						19,171
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage			7,143,025						974,237						—						(1,397,861)						(309)						202,706						25,903						6,947,701
Total available-for-sale			7,143,025						974,237						—						(1,397,861)						(309)						202,706						25,903						6,947,701
USDA Securities:
Trading			8,913						—						—						(2,269)						—						51						—						6,695
Total USDA Securities			8,913						—						—						(2,269)												51						—						6,695
Total Assets at fair value			$	7,170,850					$	974,237					$	—					$	(1,400,130)					$	(345)					$	202,757					$	26,198					$	6,973,567

Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2019
			Beginning Balance						Purchases						Sales						Settlements						Realized and unrealized 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			$	18,715					$	—					$	—					$	—					$	—					$	197					$	18,912
Total available-for-sale			18,715						—						—						—						—						197						18,912
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage			5,974,497						2,033,713						—						(1,020,294)						181,144						(26,035)						7,143,025
Total available-for-sale			5,974,497						2,033,713						—						(1,020,294)						181,144						(26,035)						7,143,025
USDA Securities:
Available-for-sale			—						57,853						(57,853)						—						—						—						—
Trading			9,999						—						—						(1,412)						326						—						8,913
Total USDA Securities			9,999						57,853						(57,853)						(1,412)						326						—						8,913
Total Assets at fair value			$	6,003,211					$	2,091,566					$	(57,853)					$	(1,021,706)					$	181,470					$	(25,838)					$	7,170,850

Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2018
			Beginning Balance						Cumulative Effect from Change in Hedge Accounting						Purchases						Sales						Settlements						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			$	18,814					$	—					$	—					$	—					$	—					$	—					$	(99)					$	18,715
Fixed rate GSE guaranteed mortgage-backed securities			4,333						—						—						—						(2,137)						(2,092)						(104)						—
Total available-for-sale			23,147						—						—						—						(2,137)						(2,092)						(203)						18,715
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage			5,471,914						487						2,177,546						—						(1,670,402)						21,459						(26,507)						5,974,497
Total available-for-sale			5,471,914						487						2,177,546						—						(1,670,402)						21,459						(26,507)						5,974,497
USDA Securities:
Available-for-sale			—						—						127,850						(127,850)						—						—						—						—
Trading(1)			13,515						—						—						—						(3,597)						81						—						9,999
Total USDA Securities			13,515						—						127,850						(127,850)						(3,597)						81						—						9,999
Total Assets at fair value			$	5,508,576					$	487					$	2,305,396					$	(127,850)					$	(1,676,136)					$	19,448					$	(26,710)					$	6,003,211

(1) Includes unrealized gains of $0.1 million attributable to assets still held as of December 31, 2018 that are recorded in "Gains on trading securities."

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, 2020 and 2019:

Table 13.3

As of December 31, 2020

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

$

19,171

Indicative bids

Range of broker quotes

97.5% - 97.5% (97.5%)

Farmer Mac Guaranteed Securities:

AgVantage

$

6,947,701

Discounted cash flow

Discount rate

0.8% - 2.3% (1.3%)

USDA Securities

$

6,695

Discounted cash flow

Discount rate

0.9% - 1.9% (1.4%)

CPR

25% - 49% (44%)

As of December 31, 2019

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

$

18,912

Indicative bids

Range of broker quotes

96.0% - 96.0% (96.0%)

Farmer Mac Guaranteed Securities:

AgVantage

$

7,143,025

Discounted cash flow

Discount rate

2.3% - 5.5% (2.6%)

USDA Securities

$

8,913

Discounted cash flow

Discount rate

2.3% - 2.6% (2.1%)

CPR

10% - 21% (19%)

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, 2020 and 2019:

Table 13.4

			As of December 31, 2020												As of December 31, 2019
			Fair Value						Carrying Amount						Fair Value						Carrying Amount
			(in thousands)
Financial assets:
Cash and cash equivalents			$	1,033,941					$	1,033,941					$	604,381					$	604,381
Investment securities			3,899,925						3,898,724						3,005,828						3,004,875
Farmer Mac Guaranteed Securities			8,148,691						8,123,493						8,606,451						8,590,476
USDA Securities			2,637,509						2,480,321						2,294,671						2,241,073
Loans			9,167,525						8,535,146						7,317,091						6,981,440
Financial derivatives			17,468						17,468						10,519						10,519
Guarantee and commitment fees receivable			34,115						37,113						36,732						38,442
Financial liabilities:
Notes payable			22,130,263						21,848,917						19,234,079						19,098,648
Debt securities of consolidated trusts held by third parties			1,390,330						1,323,786						1,663,177						1,616,504
Financial derivatives			29,892						29,892						27,042						27,042
Guarantee and commitment obligations			32,537						35,535						34,990						36,700

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Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

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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.

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