Fair Value Disclosures (Tables)

3 Months Ended

Mar. 31, 2013

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 and nonrecurring basis as of March 31, 2013 and December 31, 2012, respectively, and indicate the fair value hierarchy of the valuation techniques used by Farmer Mac to determine such fair value:

Assets and Liabilities Measured at Fair Value as of March 31, 2013
	Level 1		Level 2		Level 3		Total
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	—	$	—	$	65,213	$	65,213
Floating rate asset-backed securities	—		146,678		—		146,678
Fixed rate asset-backed securities	—		2,980		—		2,980
Floating rate corporate debt securities	—		91,804		—		91,804
Fixed rate corporate debt securities	—		62,357		—		62,357
Floating rate Government/GSE guaranteed mortgage-backed securities	—		687,745		233		687,978
Fixed rate GSE guaranteed mortgage-backed securities	—		1,704		—		1,704
Floating rate GSE subordinated debt	—		63,151		—		63,151
Fixed rate GSE preferred stock	—		86,792		—		86,792
Fixed rate taxable municipal bonds	—		8,597		—		8,597
Floating rate senior agency debt	—		50,048		—		50,048
Fixed rate senior agency debt	—		119,621		—		119,621
Fixed rate U.S. Treasuries	909,264		—		—		909,264
Total available-for-sale	909,264		1,321,477		65,446		2,296,187
Trading:
Floating rate asset-backed securities	—		—		1,129		1,129
Total trading	—		—		1,129		1,129
Total Investment Securities	909,264		1,321,477		66,575		2,297,316
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farm & Ranch	—		—		3,528,520		3,528,520
USDA Guarantees	—		—		27,198		27,198
Rural Utilities	—		—		1,544,362		1,544,362
Total Farmer Mac Guaranteed Securities	—		—		5,100,080		5,100,080
USDA Guaranteed Securities:
Available-for-sale	—		—		1,569,160		1,569,160
Trading	—		—		87,271		87,271
Total USDA Guaranteed Securities	—		—		1,656,431		1,656,431
Financial derivatives	13		26,241		—		26,254
Total Assets at fair value	$	909,277	$	1,347,718	$	6,823,086	$	9,080,081
Liabilities:
Financial derivatives	$	—	$	133,306	$	532	$	133,838
Total Liabilities at fair value	$	—	$	133,306	$	532	$	133,838
Nonrecurring:
Assets:
Loans held for investment	—		—		5,939		5,939
REO	—		—		2,232		2,232
Total Nonrecurring Assets at fair value	$	—	$	—	$	8,171	$	8,171

Assets and Liabilities Measured at Fair Value as of December 31, 2012
	Level 1		Level 2		Level 3		Total
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	—	$	—	$	63,159	$	63,159
Floating rate asset-backed securities	—		151,044		—		151,044
Fixed rate asset-backed securities	—		6,501		—		6,501
Floating rate corporate debt securities	—		76,763		—		76,763
Fixed rate corporate debt	—		52,416		—		52,416
Floating rate Government/GSE guaranteed mortgage-backed securities	—		712,859		—		712,859
Fixed rate GSE guaranteed mortgage-backed securities	—		2,065		—		2,065
Floating rate GSE subordinated debt	—		57,431		—		57,431
Fixed rate commercial paper	—		—		—		—
Fixed rate GSE preferred stock	—		87,086		—		87,086
Floating rate senior agency debt	—		50,055		—		50,055
Fixed rate senior agency debt	—		73,114		—		73,114
Fixed rate U.S. Treasuries	1,165,889		—		—		1,165,889
Total available-for-sale	1,165,889		1,269,334		63,159		2,498,382
Trading:
Floating rate asset-backed securities	—		—		1,247		1,247
Total trading	—		—		1,247		1,247
Total Investment Securities	1,165,889		1,269,334		64,406		2,499,629
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farm & Ranch	—		—		3,426,489		3,426,489
USDA Guarantees	—		—		26,681		26,681
Rural Utilities	—		—		1,313,088		1,313,088
Total Farmer Mac Guaranteed Securities	—		—		4,766,258		4,766,258
USDA Guaranteed Securities:
Available-for-sale	—		—		1,486,595		1,486,595
Trading	—		—		104,188		104,188
Total USDA Guaranteed Securities	—		—		1,590,783		1,590,783
Financial derivatives	—		31,173		—		31,173
Total Assets at fair value	$	1,165,889	$	1,300,507	$	6,421,447	$	8,887,843
Liabilities:
Financial derivatives	$	12	$	149,979	$	691	$	150,682
Total Liabilities at fair value	$	12	$	149,979	$	691	$	150,682
Nonrecurring:
Assets:
Loans held for sale	$	—	$	—	$	657,154	$	657,154
Loans held for investment	—		—		8,130		8,130
REO	—		—		1,704		1,704
Total Nonrecurring Assets at fair value	$	—	$	—	$	666,988	$	666,988

Fair Value, Assets and Liabilities 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.

Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended March 31, 2013
	Beginning Balance			Purchases		Sales		Settlements			Realized and Unrealized Gains/ (Losses) included in Income			Unrealized Gains/(Losses) included in Other Comprehen-sive Income			Ending Balance
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	63,159		$	—	$	—	$	—		$	—		$	2,054		$	65,213
Floating rate Government/GSE guaranteed mortgage-backed securities	—			233		—		—			—			—			233
Total available-for-sale	63,159			233		—		—			—			2,054			65,446
Trading:
Floating rate asset-backed securities (1)	1,247			—		—		(314		)	196			—			1,129
Total trading	1,247			—		—		(314		)	196			—			1,129
Total Investment Securities	64,406			233		—		(314		)	196			2,054			66,575
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farm & Ranch	3,426,489			100,000		—		(9		)	(3,138		)	5,178			3,528,520
USDA Guarantees	26,681			—		—		(383		)	—			900			27,198
Rural Utilities	1,313,088			325,000		—		(77,924		)	—			(15,802		)	1,544,362
Total Farmer Mac Guaranteed Securities	4,766,258			425,000		—		(78,316		)	(3,138		)	(9,724		)	5,100,080
USDA Guaranteed Securities:
Available-for-sale	1,486,595			122,187		—		(69,202		)	—			29,580			1,569,160
Trading (2)	104,188			—		—		(16,931		)	14			—			87,271
Total USDA Guaranteed Securities	1,590,783			122,187		—		(86,133		)	14			29,580			1,656,431
Total Assets at fair value	$	6,421,447		$	547,420	$	—	$	(164,763	)	$	(2,928	)	$	21,910		$	6,823,086
Liabilities:
Financial derivatives (3)	$	(691	)	$	—	$	—	$	—		$	159		$	—		$	(532	)
Total Liabilities at fair value	$	(691	)	$	—	$	—	$	—		$	159		$	—		$	(532	)

(1) Unrealized gains are attributable to assets still held as of March 31, 2013 and are recorded in Gains on trading assets.

(2) Includes unrealized losses of $0.1 million attributable to assets still held as of March 31, 2013 that are recorded in Gains on trading assets.

(3) Unrealized gains are attributable to liabilities still held as of March 31, 2013 and are recorded in Gains on financial derivatives and hedging activities.

Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended March 31, 2012
	Beginning Balance			Purchases		Sales		Settlements			Realized and Unrealized Gains/ (Losses) included in Income		Unrealized Gains/(Losses) included in Other Comprehen-sive Income			Ending Balance
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	60,213		$	—	$	—	$	—		$	—	$	(1,345	)	$	58,868
Total available-for-sale	60,213			—		—		—			—		(1,345		)	58,868
Trading:
Floating rate asset-backed securities (1)	1,796			—		—		(288		)	138		—			1,646
Total Trading	1,796			—		—		(288		)	138		—			1,646
Total Investment Securities	62,009			—		—		(288		)	138		(1,345		)	60,514
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farm & Ranch	2,807,627			200,000		—		(8		)	—		604			3,008,223
USDA Guarantees	35,599			—		—		(228		)	—		758			36,129
Rural Utilities	1,446,046			—		—		(95,701		)	—		(4,836		)	1,345,509
Total Farmer Mac Guaranteed Securities	4,289,272			200,000		—		(95,937		)	—		(3,474		)	4,389,861
USDA Guaranteed Securities:
Available-for-sale	1,279,546			101,725		—		(54,018		)	—		1,449			1,328,702
Trading (2)	212,359			—		—		(28,923		)	961		—			184,397
Total USDA Guaranteed Securities	1,491,905			101,725		—		(82,941		)	961		1,449			1,513,099
Total Assets at fair value	$	5,843,186		$	301,725	$	—	$	(179,166	)	$	1,099	$	(3,370	)	$	5,963,474
Liabilities:
Financial derivatives (3)	$	(1,335	)	$	—	$	—	$	—		$	110	$	—		$	(1,225	)
Total Liabilities at fair value	$	(1,335	)	$	—	$	—	$	—		$	110	$	—		$	(1,225	)

(1) Unrealized gains are attributable to assets still held as of December 31, 2012 and are recorded in Gains on trading assets.

(2) Includes unrealized gains of $0.8 million attributable to assets still held as of December 31, 2012 that are recorded in Gains on trading assets.

(3) Unrealized gains are attributable to liabilities still held as of December 31, 2012 and are recorded in Gains on financial derivatives and hedging activities.

Fair Value Inputs, Assets and Liabilities, Quantitative Information

The following tables presents 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, 2013 and December 31, 2012:

	March 31, 2013
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	$	65,213	Indicative bids	Range of broker quotes	82.0% - 93.0% (88.0%)
Floating rate asset-backed securities	$	1,129	Discounted cash flow	Discount rate	11.9% - 19.4% (15.9%)
				CPR	10%
Floating rate Government/GSE guaranteed mortgage-backed securities	$	233	Discounted cash flow	Discount rate	1.6% - 1.6% (1.6%)
				CPR	7%
Farmer Mac Guaranteed Securities:
Farm & Ranch	$	3,528,520	Discounted cash flow	Discount rate	0.9% - 3.5% (1.6%)
USDA Guarantees	$	27,198	Discounted cash flow	Discount rate	0.8% - 3.3% (1.9%)
				CPR	8% - 18% (15%)
Rural Utilities	$	1,544,362	Discounted cash flow	Discount rate	0.8% - 3.0% (1.6%)
USDA Guaranteed Securities	$	1,656,431	Discounted cash flow	Discount rate	1.2% - 5.3% (3.1%)
				CPR	0% - 27% (9%)
Liabilities:
Financial Derivatives:
Basis swaps	$	532	Discounted cash flow	Discount rate	0.6% - 2.4% (1.3%)
				CPR	12% - 17% (16%)

	December 31, 2012
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	$	63,159	Indicative bids	Range of broker quotes	82.0% - 90.0% (85.0%)
Floating rate asset-backed securities	$	1,247	Discounted cash flow	Discount rate	12.4% - 19.7% (16.2%)
				CPR	10%
Farmer Mac Guaranteed Securities:
Farm & Ranch	$	3,426,489	Discounted cash flow	Discount rate	1.1% - 3.4% (1.6%)
USDA Guarantees	$	26,681	Discounted cash flow	Discount rate	1.0% - 3.4% (2.1%)
				CPR	8% - 17% (14%)
Rural Utilities	$	1,313,088	Discounted cash flow	Discount rate	0.8% - 2.9% (1.6%)
USDA Guaranteed Securities	$	1,590,783	Discounted cash flow	Discount rate	1.4% - 5.3% (3.4%)
				CPR	0% - 26% (10%)
Liabilities:
Financial Derivatives:
Basis swaps	$	691	Discounted cash flow	Discount rate	1.0% - 3.0% (1.7%)
				CPR	11% - 19% (16%)

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, 2013 and December 31, 2012:

	March 31, 2013				December 31, 2012
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	893,387	$	893,387	$	785,564	$	785,564
Investment securities	2,297,316		2,297,316		2,499,629		2,499,629
Farmer Mac Guaranteed Securities	5,100,080		5,100,080		4,766,258		4,766,258
USDA Guaranteed Securities	1,656,431		1,656,431		1,590,783		1,590,783
Loans	2,832,842		2,765,926		2,746,742		2,729,774
Financial derivatives	26,254		26,254		31,173		31,173
Guarantee and commitment fees receivable:
LTSPCs	29,225		24,653		27,805		22,863
Farmer Mac Guaranteed Securities	18,844		17,706		20,432		18,926
Financial liabilities:
Notes payable:
Due within one year	6,552,954		6,543,973		6,573,013		6,567,366
Due after one year	5,128,379		4,978,118		5,202,751		5,034,739
Debt securities of consolidated trusts held by third parties	173,575		167,250		164,910		167,621
Financial derivatives	133,838		133,838		150,682		150,682
Guarantee and commitment obligations:
LTSPCs	28,317		23,745		26,896		21,954
Farmer Mac Guaranteed Securities	16,297		15,160		17,354		15,849