Fair Value Disclosures - Fair Value Disclosures (Tables)

12 Months Ended

Dec. 31, 2016

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 December 31, 2016 and December 31, 2015, 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, 2016
	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	$	—	$	—	$	17,730	$	17,730
Floating rate asset-backed securities	—		43,851		—		43,851
Floating rate corporate debt securities	—		10,041		—		10,041
Floating rate Government/GSE guaranteed mortgage-backed securities	—		1,361,029		—		1,361,029
Fixed rate GSE guaranteed mortgage-backed securities	—		7,625		—		7,625
Floating rate GSE subordinated debt	—		66,953		—		66,953
Fixed rate senior agency debt	—		187,133		—		187,133
Fixed rate U.S. Treasuries	821,489		—		—		821,489
Total Investment Securities	821,489		1,676,632		17,730		2,515,851
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		4,853,685		4,853,685
Total Farmer Mac Guaranteed Securities	—		—		4,853,685		4,853,685
USDA Securities:
Trading	—		—		20,388		20,388
Total USDA Securities	—		—		20,388		20,388
Financial derivatives	—		23,182		—		23,182
Total Assets at fair value	$	821,489	$	1,699,814	$	4,891,803	$	7,413,106
Liabilities:
Financial derivatives	$	155	$	57,997	$	—	$	58,152
Total Liabilities at fair value	$	155	$	57,997	$	—	$	58,152
Nonrecurring:
Assets:
Loans held for investment	$	—	$	—	$	2,799	$	2,799
REO	—		—		349		349
Total Nonrecurring Assets at fair value	$	—	$	—	$	3,148	$	3,148



Assets and Liabilities Measured at Fair Value as of December 31, 2015
	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	$	—	$	—	$	44,924	$	44,924
Floating rate asset-backed securities	—		73,729		—		73,729
Floating rate corporate debt securities	—		9,991		—		9,991
Fixed rate corporate debt	—		9,994		—		9,994
Floating rate Government/GSE guaranteed mortgage-backed securities	—		1,355,459		—		1,355,459
Fixed rate GSE guaranteed mortgage-backed securities	—		7,904		—		7,904
Floating rate GSE subordinated debt	—		66,249		—		66,249
Fixed rate senior agency debt	—		213,987		—		213,987
Fixed rate U.S. Treasuries	992,788		—		—		992,788
Total available-for-sale	992,788		1,737,313		44,924		2,775,025
Trading:
Floating rate asset-backed securities	—		—		491		491
Total trading	—		—		491		491
Total Investment Securities	992,788		1,737,313		45,415		2,775,516
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		4,121,244		4,121,244
Farmer Mac Guaranteed USDA Securities	—		—		31,361		31,361
Total Farmer Mac Guaranteed Securities	—		—		4,152,605		4,152,605
USDA Securities:
Available-for-sale	—		—		1,888,344		1,888,344
Trading	—		—		28,975		28,975
Total USDA Guaranteed Securities	—		—		1,917,319		1,917,319
Financial derivatives	19		3,797		—		3,816
Total Assets at fair value	$	992,807	$	1,741,110	$	6,115,339	$	8,849,256
Liabilities:
Financial derivatives	$	—	$	77,199	$	—	$	77,199
Total Liabilities at fair value	$	—	$	77,199	$	—	$	77,199
Nonrecurring:
Assets:
Loans held for investment	$	—	$	—	$	11,443	$	11,443
REO	$	—	$	—	$	388	$	388
Total Nonrecurring Assets at fair value	$	—	$	—	$	11,831	$	11,831

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. There were no liabilities measured at fair value using significant unobservable inputs during the years ended December 31, 2016 and 2015.

Table 13.2



Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2016
	Beginning Balance		Purchases		Sales			Settlements			Realized and Unrealized Gains/(Losses) included in Income			Unrealized Gains/(Losses) included in Other Comprehen-sive Income			Transfers Out			Ending Balance
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	44,924	$	—	$	(26,806	)	$	—		$	6		$	(394	)	$	—		$	17,730
Total available-for-sale	44,924		—		(26,806		)	—			6			(394		)	—			17,730
Trading:
Floating rate asset-backed securities⁽¹⁾	491		—		—			(2,213		)	1,722			—			—			—
Total trading	491		—		—			(2,213		)	1,722			—			—			—
Total Investment Securities	45,415		—		(26,806		)	(2,213		)	1,728			(394		)	—			17,730
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	4,121,244		1,430,392		—			(706,446		)	(20,944		)	29,439			—			4,853,685
Farmer Mac Guaranteed USDA Securities⁽²⁾	31,361		4,100		—			(3,240		)	—			603			(32,824		)	—
Total Farmer Mac Guaranteed Securities	4,152,605		1,434,492		—			(709,686		)	(20,944		)	30,042			(32,824		)	4,853,685
USDA Securities:
Available-for-sale⁽²⁾	1,888,344		391,240		(97,954		)	(237,262		)	—			35,959			(1,980,327		)	—
Trading⁽³⁾	28,975		—		—			(8,325		)	(262		)	—			—			20,388
Total USDA Securities	1,917,319		391,240		(97,954		)	(245,587		)	(262		)	35,959			(1,980,327		)	20,388
Total Assets at fair value	$	6,115,339	$	1,825,732	$	(124,760	)	$	(957,486	)	$	(19,478	)	$	65,607		$	(2,013,151	)	$	4,891,803


⁽¹⁾	None of the unrealized gains are attributable to assets still held as of December 31, 2016 and are recorded in "Gains on trading securities."


⁽²⁾	Includes $32.8 million of Farmer Mac Guaranteed USDA Securities and $2.0 billion of USDA Securities transferred from available-for-sale to held-to-maturity on October 1, 2016.


⁽³⁾	Includes unrealized losses of $0.3 million attributable to assets still held as of December 31, 2016 that are recorded in "Gains on trading securities."



Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2015
	Beginning Balance		Purchases		Sales		Settlements			Realized and Unrealized (Losses)/Gains 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	$	40,576	$	—	$	—	$	—		$	(100	)	$	4,448		$	44,924
Total available-for-sale	40,576		—		—		—			(100		)	4,448			44,924
Trading:
Floating rate asset-backed securities⁽¹⁾	689		—		—		(657		)	459			—			491
Total trading	689		—		—		(657		)	459			—			491
Total Investment Securities	41,265		—		—		(657		)	359			4,448			45,415
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	3,631,662		678,566		—		(138,687		)	3,090			(53,387		)	4,121,244
Farmer Mac Guaranteed USDA Securities	27,619		13,314		—		(9,482		)	—			(90		)	31,361
Total Farmer Mac Guaranteed Securities	3,659,281		691,880		—		(148,169		)	3,090			(53,477		)	4,152,605
USDA Securities:
Available-for-sale	1,731,222		363,621		—		(233,385		)	—			26,886			1,888,344
Trading⁽²⁾	40,310		—		—		(12,096		)	761			—			28,975
Total USDA Securities	1,771,532		363,621		—		(245,481		)	761			26,886			1,917,319
Total Assets at fair value	$	5,472,078	$	1,055,501	$	—	$	(394,307	)	$	4,210		$	(22,143	)	$	6,115,339


⁽¹⁾	Unrealized gains are attributable to assets still held as of December 31, 2015 and are recorded in "Gains on trading securities."


⁽²⁾	Includes unrealized gains of $0.9 million attributable to assets still held as of December 31, 2015 that are recorded in "Gains on trading securities."



Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2014
	Beginning Balance			Purchases		Sales			Settlements			Realized and Unrealized (Losses)/Gains included in Income			Unrealized Gains/(Losses) included in Other Comprehen-sive Income			Transfers Out			Ending Balance
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	65,285		$	—	$	(26,675	)	$	—		$	(825	)	$	2,791		$	—		$	40,576
Floating rate Government/GSE guaranteed mortgage-backed securities	205			—		—			(205		)	—			—			—			—
Total available-for-sale	65,490			—		(26,675		)	(205		)	(825		)	2,791			—			40,576
Trading:
Floating rate asset-backed securities⁽¹⁾	928			—		—			(685		)	446			—			—			689
Total trading	928			—		—			(685		)	446			—			—			689
Total Investment Securities	66,418			—		(26,675		)	(890		)	(379		)	2,791			—			41,265
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage⁽²⁾	5,070,366			1,091,475		—			(922,908		)	14,520			10,995			(1,632,786		)	3,631,662
Farmer Mac Guaranteed USDA Securities	21,234			7,627		—			(808		)				(434		)	—			27,619
Total Farmer Mac Guaranteed Securities	5,091,600			1,099,102		—			(923,716		)	14,520			10,561			(1,632,786		)	3,659,281
USDA Securities:
Available-for-sale	1,553,669			335,359		—			(209,400		)	—			51,594			—			1,731,222
Trading⁽²⁾	58,344			—		—			(19,185		)	1,151			—			—			40,310
Total USDA Securities	1,612,013			335,359		—			(228,585		)	1,151			51,594			—			1,771,532
Total Assets at fair value	$	6,770,031		$	1,434,461	$	(26,675	)	$	(1,153,191	)	$	15,292		$	64,946		$	(1,632,786	)	$	5,472,078

Liabilities:	$	(235	)	$	—	$	—		$	—		$	235		$	—		$	—		$	—
Financial Derivatives:	$	(235	)	$	—	$	—		$	—		$	235		$	—		$	—		$	—


⁽¹⁾	Unrealized gains are attributable to assets still held as of December 31, 2014 and are recorded in "Gains on trading securities.".


⁽²⁾	Includes $1.6 billion of AgVantage securities transferred from available-for-sale to held-to-maturity on January 1, 2014 and $20.7 million of AgVantage securities purchased during 2014 transferred from available-for-sale to held-to-maturity.


⁽³⁾	Includes unrealized gains of $1.8 million attributable to assets still held as of December 31, 2014 that are recorded in "Gains on trading securities."

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 December 31, 2016 and December 31, 2015.

Table 13.3



	As of December 31, 2016
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	$	17,730	Indicative bids	Range of broker quotes	90.0% - 90.0% (90.0%)
Farmer Mac Guaranteed Securities:
AgVantage	$	4,853,685	Discounted cash flow	Discount rate	1.5% - 3.3% (1.9%)

USDA Securities	$	20,388	Discounted cash flow	Discount rate	4.0% - 5.3% (5.0%)
				CPR	13% - 18% (17%)



	As of December 31, 2015
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	$	44,924	Indicative bids	Range of broker quotes	92.0% - 99.6% (96.6%)
Floating rate asset-backed securities	$	491	Discounted cash flow	Discount rate	18.3% - 23.9% (21.5%)
				CPR	10.0%
Farmer Mac Guaranteed Securities:
AgVantage	$	4,121,244	Discounted cash flow	Discount rate	1.1% - 3.3% (1.8%)
Farmer Mac Guaranteed USDA Securities	$	31,361	Discounted cash flow	Discount rate	1.0% - 3.9% (1.8%)
				CPR	9% - 20% (10.0%)
USDA Securities	$	1,917,319	Discounted cash flow	Discount rate	1.3% - 5.1% (3.1%)
				CPR	0% - 19% (7.0%)

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 December 31, 2016 and December 31, 2015:

Table 13.4



	As of December 31, 2016				As of December 31, 2015
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	265,229	$	265,229	$	1,210,084	$	1,210,084
Investment securities	2,515,851		2,515,851		2,775,516		2,775,516
Farmer Mac Guaranteed Securities	6,006,694		6,002,916		5,434,422		5,426,621
USDA Securities	1,934,023		2,029,613		1,917,319		1,917,319
Loans	4,481,019		4,507,435		4,027,660		3,962,044
Financial derivatives	23,182		23,182		3,816		3,816
Guarantee and commitment fees receivable:
LTSPCs	34,720		32,656		31,953		31,240
Farmer Mac Guaranteed Securities	6,197		6,215		8,872		8,949
Financial liabilities:
Notes payable:
Due within one year	8,439,515		8,440,123		9,108,468		9,111,461
Due after one year	5,260,497		5,222,977		5,009,310		4,967,036
Debt securities of consolidated trusts held by third parties	1,107,513		1,142,704		713,316		713,536
Financial derivatives	58,152		58,152		77,199		77,199
Guarantee and commitment obligations:
LTSPCs	33,860		31,796		31,015		30,301
Farmer Mac Guaranteed Securities	5,467		5,486		8,230		8,308

The carrying value of cash and cash equivalents is a reasonable estimate of their approximate fair value and is classified as level 1 within the fair value hierarchy. Investment securities primarily are valued based on unadjusted quoted prices in active markets and are classified as level 2 within the fair value hierarchy. 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 within the fair value hierarchy. Financial derivatives primarily are valued using unadjusted counterparty valuations and are classified as level 2 within the fair value hierarchy. 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 within the fair value hierarchy. 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 within the fair value hierarchy. 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.

- Definition

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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