Fair Value Disclosures (Tables)

9 Months Ended

Sep. 30, 2013

Fair Value Measurements, Recurring and Nonrecurring [Table Text Block]

The following tables present information about Farmer Mac's assets and liabilities measured at fair value on a recurring and nonrecurring basis as of September 30, 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:

Table 8.1



Assets and Liabilities Measured at Fair Value as of September 30, 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	$	—	$	—	$	65,088	$	65,088
Floating rate asset-backed securities	—		163,696		—		163,696
Floating rate corporate debt securities	—		114,773		—		114,773
Fixed rate corporate debt securities	—		65,188		—		65,188
Floating rate Government/GSE guaranteed mortgage-backed securities	—		751,493		214		751,707
Fixed rate GSE guaranteed mortgage-backed securities	—		9,141		—		9,141
Floating rate GSE subordinated debt	—		63,385		—		63,385
Fixed rate GSE preferred stock	—		83,455		—		83,455
Fixed rate taxable municipal bonds	—		26,744		—		26,744
Floating rate senior agency debt	—		25,011		—		25,011
Fixed rate senior agency debt	—		326,767		—		326,767
Fixed rate U.S. Treasuries	807,180		—		—		807,180
Total available-for-sale	807,180		1,629,653		65,302		2,502,135
Trading:
Floating rate asset-backed securities	—		—		977		977
Total trading	—		—		977		977
Total Investment Securities	807,180		1,629,653		66,279		2,503,112
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farm & Ranch	—		—		3,598,523		3,598,523
USDA Guarantees	—		—		25,708		25,708
Rural Utilities	—		—		1,514,525		1,514,525
Total Farmer Mac Guaranteed Securities	—		—		5,138,756		5,138,756
USDA Guaranteed Securities:
Available-for-sale	—		—		1,566,691		1,566,691
Trading	—		—		62,319		62,319
Total USDA Guaranteed Securities	—		—		1,629,010		1,629,010
Financial derivatives	—		19,676		—		19,676
Total Assets at fair value	$	807,180	$	1,649,329	$	6,834,045	$	9,290,554
Liabilities:
Financial derivatives	$	—	$	91,116	$	329	$	91,445
Total Liabilities at fair value	$	—	$	91,116	$	329	$	91,445
Nonrecurring:
Assets:
Loans held for investment	$	—	$	—	$	5,584	$	5,584
REO	—		—		2,080		2,080
Total Nonrecurring Assets at fair value	$	—	$	—	$	7,664	$	7,664



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 Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

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.

Table 8.2



Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended September 30, 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	$	65,088		$	—	$	—	$	—		$	—		$	—		$	65,088
Floating rate Government/GSE guaranteed mortgage-backed securities	222			—		—		(8		)	—			—			214
Total available-for-sale	65,310			—		—		(8		)	—			—			65,302
Trading:
Floating rate asset-backed securities (1)	1,064			—		—		(156		)	69			—			977
Total trading	1,064			—		—		(156		)	69			—			977
Total Investment Securities	66,374			—		—		(164		)	69			—			66,279
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farm & Ranch	3,498,474			103,500		—		(1,886		)	2,996			(4,561		)	3,598,523
USDA Guarantees	25,794			—		—		(414		)	—			328			25,708
Rural Utilities	1,534,585			250,000		—		(256,636		)	—			(13,424		)	1,514,525
Total Farmer Mac Guaranteed Securities	5,058,853			353,500		—		(258,936		)	2,996			(17,657		)	5,138,756
USDA Guaranteed Securities:
Available-for-sale	1,543,764			70,372		—		(48,380		)	—			935			1,566,691
Trading (2)	73,592			—		—		(10,578		)	(695		)	—			62,319
Total USDA Guaranteed Securities	1,617,356			70,372		—		(58,958		)	(695		)	935			1,629,010
Total Assets at fair value	$	6,742,583		$	423,872	$	—	$	(318,058	)	$	2,370		$	(16,722	)	$	6,834,045
Liabilities:
Financial derivatives (3)	$	(390	)	$	—	$	—	$	—		$	61		$	—		$	(329	)
Total Liabilities at fair value	$	(390	)	$	—	$	—	$	—		$	61		$	—		$	(329	)


(1)	Unrealized gains are attributable to assets still held as of September 30, 2013 and are recorded in "Losses on trading assets."


(2)	Includes unrealized losses of $0.4 million attributable to assets still held as of September 30, 2013 that are recorded in "Losses on trading assets."


(3)	Unrealized gains are attributable to liabilities still held as of September 30, 2013 and are recorded in "Gains/(losses) on financial derivatives and hedging activities."



Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended September 30, 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	$	59,707		$	—	$	—	$	—		$	—		$	327		$	60,034
Total available-for-sale	59,707			—		—		—			—			327			60,034
Trading:
Floating rate asset-backed securities (1)	1,430			—		—		(137		)	51			—			1,344
Total trading	1,430			—		—		(137		)	51			—			1,344
Total Investment Securities	61,137			—		—		(137		)	51			327			61,378
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farm & Ranch	3,223,332			201,000		—		(1,809		)	8,378			687			3,431,588
USDA Guarantees	29,899			—		—		(335		)	—			411			29,975
Rural Utilities	1,191,236			250,000		—		(250,000		)	—			(4,292		)	1,186,944
Total Farmer Mac Guaranteed Securities	4,444,467			451,000		—		(252,144		)	8,378			(3,194		)	4,648,507
USDA Guaranteed Securities:
Available-for-sale	1,418,638			114,974		—		(68,516		)	—			2,945			1,468,041
Trading (2)	146,825			—		—		(23,746		)	(492		)	—			122,587
Total USDA Guaranteed Securities	1,565,463			114,974		—		(92,262		)	(492		)	2,945			1,590,628
Total Assets at fair value	$	6,071,067		$	565,974	$	—	$	(344,543	)	$	7,937		$	78		$	6,300,513
Liabilities:
Financial derivatives (3)	$	(967	)	$	—	$	—	$	—		$	87		$	—		$	(880	)
Total Liabilities at fair value	$	(967	)	$	—	$	—	$	—		$	87		$	—		$	(880	)


(1)	Unrealized gains are attributable to assets still held as of September 30, 2012 and are recorded in "Losses on trading assets."


(2)	Includes unrealized losses of $0.4 million attributable to assets still held as of September 30, 2012 that are recorded in "Losses on trading assets."


(3)	Unrealized gains are attributable to liabilities still held as of September 30, 2012 and are recorded in "Gains/(losses) on financial derivatives and hedging activities."



Level 3 Assets and Liabilities Measured at Fair Value for the Nine Months Ended September 30, 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		$	—	$	—	$	—		$	—		$	1,929		$	65,088
Floating rate Government/GSE guaranteed mortgage-backed securities	—			233		—		(17		)	—			(2		)	214
Total available-for-sale	63,159			233		—		(17		)	—			1,927			65,302
Trading:
Floating rate asset-backed securities (1)	1,247			—		—		(656		)	386			—			977
Total trading	1,247			—		—		(656		)	386			—			977
Total Investment Securities	64,406			233		—		(673		)	386			1,927			66,279
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farm & Ranch	3,426,489			403,500		—		(203,103		)	(14,872		)	(13,491		)	3,598,523
USDA Guarantees	26,681			—		—		(1,312		)	—			339			25,708
Rural Utilities	1,313,088			575,000		—		(339,871		)	—			(33,692		)	1,514,525
Total Farmer Mac Guaranteed Securities	4,766,258			978,500		—		(544,286		)	(14,872		)	(46,844		)	5,138,756
USDA Guaranteed Securities:
Available-for-sale	1,486,595			303,456		—		(193,946		)	—			(29,414		)	1,566,691
Trading (2)	104,188			—		—		(40,740		)	(1,129		)	—			62,319
Total USDA Guaranteed Securities	1,590,783			303,456		—		(234,686		)	(1,129		)	(29,414		)	1,629,010
Total Assets at fair value	$	6,421,447		$	1,282,189	$	—	$	(779,645	)	$	(15,615	)	$	(74,331	)	$	6,834,045
Liabilities:
Financial derivatives (3)	$	(691	)	$	—	$	—	$	—		$	362		$	—		$	(329	)
Total Liabilities at fair value	$	(691	)	$	—	$	—	$	—		$	362		$	—		$	(329	)


(1)	Unrealized gains are attributable to assets still held as of September 30, 2013 and are recorded in "Losses on trading assets."


(2)	Includes unrealized losses of $0.5 million attributable to assets still held as of September 30, 2013 that are recorded in "Losses on trading assets."


(3)	Unrealized gains are attributable to liabilities still held as of September 30, 2013 and are recorded in "Gains/(losses) on financial derivatives and hedging activities."



Level 3 Assets and Liabilities Measured at Fair Value for the Nine Months Ended September 30, 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		$	—	$	—		$	—		$	—		$	(179	)	$	60,034
Total available-for-sale	60,213			—		—			—			—			(179		)	60,034
Trading:
Floating rate asset-backed securities (1)	1,796			—		—			(664		)	212			—			1,344
Total trading	1,796			—		—			(664		)	212			—			1,344
Total Investment Securities	62,009			—		—			(664		)	212			(179		)	61,378
Farmer Mac Guaranteed Securities:
Available-for-sale:
Farm & Ranch	2,807,627			601,000		—			(2,824		)	8,378			17,407			3,431,588
USDA Guarantees	35,599			5,327		(5,327		)	(6,350		)	—			726			29,975
Rural Utilities	1,446,046			250,000		—			(495,701		)	—			(13,401		)	1,186,944
Total Farmer Mac Guaranteed Securities	4,289,272			856,327		(5,327		)	(504,875		)	8,378			4,732			4,648,507
USDA Guaranteed Securities:
Available-for-sale	1,279,546			376,985		—			(192,309		)	—			3,819			1,468,041
Trading (2)	212,359			—		—			(87,132		)	(2,640		)	—			122,587
Total USDA Guaranteed Securities	1,491,905			376,985		—			(279,441		)	(2,640		)	3,819			1,590,628
Total Assets at fair value	$	5,843,186		$	1,233,312	$	(5,327	)	$	(784,980	)	$	5,950		$	8,372		$	6,300,513
Liabilities:
Financial derivatives (3)	$	(1,335	)	$	—	$	—		$	—		$	455		$	—		$	(880	)
Total Liabilities at fair value	$	(1,335	)	$	—	$	—		$	—		$	455		$	—		$	(880	)


(1)	Unrealized gains are attributable to assets still held as of September 30, 2012 and are recorded in "Losses on trading assets."


(2)	Includes unrealized losses of $2.0 million attributable to assets still held as of September 30, 2012 that are recorded in "Losses on trading assets."


(3)	Unrealized gains are attributable to liabilities still held as of September 30, 2012 and are recorded in "Gains/(losses) on financial derivatives and hedging activities."

^{[1],[2],[3],[4],[5],[6]}

Fair Value Inputs, Assets and Liabilities, Quantitative Information [Table Text Block]

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 September 30, 2013 and December 31, 2012:

Table 8.3



	September 30, 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	$	65,088	Indicative bids	Range of broker quotes	82.0% - 92.0% (87.8%)
Floating rate asset-backed securities	$	977	Discounted cash flow	Discount rate	13.1% - 21.5% (17.4%)
				CPR	10%
Floating rate Government/GSE guaranteed mortgage-backed securities	$	214	Discounted cash flow	Discount rate	1.7% - 1.7% (1.7%)
				CPR	6%
Farmer Mac Guaranteed Securities:
Farm & Ranch	$	3,598,523	Discounted cash flow	Discount rate	0.9% - 3.6% (1.7%)
USDA Guarantees	$	25,708	Discounted cash flow	Discount rate	0.8% - 3.3% (2.0%)
				CPR	8% - 14% (13%)
Rural Utilities	$	1,514,525	Discounted cash flow	Discount rate	1.0% - 3.3% (1.8%)
USDA Guaranteed Securities	$	1,629,010	Discounted cash flow	Discount rate	1.2% - 5.3% (3.3%)
				CPR	0% - 24% (6%)
Liabilities:
Financial Derivatives:
Basis swaps	$	329	Discounted cash flow	Discount rate	0.7% - 2.3% (1.3%)
				CPR	10% - 14% (12%)



	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 [Table Text Block]

The following table sets forth the estimated fair values and carrying values for financial assets, liabilities, and guarantees and commitments as of September 30, 2013 and December 31, 2012:

Table 8.4



	September 30, 2013				December 31, 2012
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	651,713	$	651,713	$	785,564	$	785,564
Investment securities	2,503,112		2,503,112		2,499,629		2,499,629
Farmer Mac Guaranteed Securities	5,138,756		5,138,756		4,766,258		4,766,258
USDA Guaranteed Securities	1,629,010		1,629,010		1,590,783		1,590,783
Loans	2,979,997		2,992,638		2,746,742		2,729,774
Financial derivatives	19,676		19,676		31,173		31,173
Guarantee and commitment fees receivable:
LTSPCs	33,414		27,016		27,805		22,863
Farmer Mac Guaranteed Securities	18,291		16,480		20,432		18,926
Financial liabilities:
Notes payable:
Due within one year	7,046,567		7,021,678		6,573,013		6,567,366
Due after one year	5,051,897		5,037,035		5,202,751		5,034,739
Debt securities of consolidated trusts held by third parties	180,157		178,076		164,910		167,621
Financial derivatives	91,445		91,445		150,682		150,682
Guarantee and commitment obligations:
LTSPCs	32,471		26,073		26,896		21,954
Farmer Mac Guaranteed Securities	15,845		14,033		17,354		15,849

[1]	Unrealized gains are attributable to assets still held as of September 30, 2012 and are recorded in "Losses on trading assets."
[2]	Includes unrealized losses of $2.0 million attributable to assets still held as of September 30, 2012 that are recorded in "Losses on trading assets."
[3]	Includes unrealized losses of $0.5 million attributable to assets still held as of September 30, 2013 that are recorded in "Losses on trading assets."
[4]	Unrealized gains are attributable to liabilities still held as of September 30, 2012 and are recorded in "Gains/(losses) on financial derivatives and hedging activities."
[5]	Unrealized gains are attributable to assets still held as of September 30, 2013 and are recorded in "Losses on trading assets."
[6]	Unrealized gains are attributable to liabilities still held as of September 30, 2013 and are recorded in "Gains/(losses) on financial derivatives and hedging activities."

- Definition

Tabular disclosure related to assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a recurring and/or nonrecurring basis in periods after initial recognition. Disclosures include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3) as well as transfers between levels 1 and 2.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 157

-Paragraph 32

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 820

-SubTopic 10

-Section 50

-Paragraph 3

-URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19279-110258

Reference 3: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 820

-SubTopic 10

-Section 50

-Paragraph 1

-URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19190-110258

Reference 4: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 157

-Paragraph 6

-Footnote 4

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 5: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 820

-SubTopic 10

-Section 50

-Paragraph 2

-Subparagraph (a,b,bb)

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+ Details

- 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

- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.

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+ Details