Fair Value Disclosures - Fair Value Disclosures (Tables)

6 Months Ended

Jun. 30, 2018

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 non-recurring basis as of June 30, 2018 and December 31, 2017, 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 June 30, 2018
	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	$	—	$	—	$	19,010	$	19,010
Floating rate asset-backed securities	—		31,321		—		31,321
Floating rate Government/GSE guaranteed mortgage-backed securities	—		1,368,125		—		1,368,125
Fixed rate GSE guaranteed mortgage-backed securities	—		439		—		439
Fixed rate U.S. Treasuries	905,703		—		—		905,703
Total Investment Securities	905,703		1,399,885		19,010		2,324,598
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		5,985,806		5,985,806
Total Farmer Mac Guaranteed Securities	—		—		5,985,806		5,985,806
USDA Securities:
Trading	—		—		10,748		10,748
Total USDA Securities	—		—		10,748		10,748
Financial derivatives	—		8,011		—		8,011
Total Assets at fair value	$	905,703	$	1,407,896	$	6,015,564	$	8,329,163
Liabilities:
Financial derivatives	$	123	$	20,041	$	—	$	20,164
Total Liabilities at fair value	$	123	$	20,041	$	—	$	20,164
Non-recurring:
Assets:
Loans held for investment	$	—	$	—	$	343	$	343
Total Non-recurring Assets at fair value	$	—	$	—	$	343	$	343



Assets and Liabilities Measured at Fair Value as of December 31, 2017
	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	$	—	$	—	$	18,814	$	18,814
Floating rate asset-backed securities	—		34,210		—		34,210
Floating rate Government/GSE guaranteed mortgage-backed securities	—		1,290,187		—		1,290,187
Fixed rate GSE guaranteed mortgage-backed securities	—		486		4,333		4,819
Fixed rate senior agency debt	—		99,951		—		99,951
Fixed rate U.S. Treasuries	767,424		—		—		767,424
Total available-for-sale	767,424		1,424,834		23,147		2,215,405
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		5,471,914		5,471,914
Total Farmer Mac Guaranteed Securities	—		—		5,471,914		5,471,914
USDA Securities:
Trading	—		—		13,515		13,515
Total USDA Securities	—		—		13,515		13,515
Financial derivatives	—		7,093		—		7,093
Total Assets at fair value	$	767,424	$	1,431,927	$	5,508,576	$	7,707,927
Liabilities:
Financial derivatives	$	36	$	26,563	$	—	$	26,599
Total Liabilities at fair value	$	36	$	26,563	$	—	$	26,599
Non-recurring:
Assets:
Loans held for investment	$	—	$	—	$	508	$	508
Total Non-recurring Assets at fair value	$	—	$	—	$	508	$	508

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 three and six months ended June 30, 2018 and 2017.

Table 8.2



Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended June 30, 2018
	Beginning Balance		Purchases		Sales			Settlements			Realized and Unrealized (Losses) included in Income			Unrealized Gains/(Losses) included in Other Comprehe- nsive Income		Ending Balance
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	19,010	$	—	$	—		$	—		$	—		$	—	$	19,010
Fixed rate GSE guaranteed mortgage-backed securities	4,120		—		—			(2,028		)	(2,092		)	—		—
Total available-for-sale	23,130		—		—			(2,028		)	(2,092		)	—		19,010
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	5,839,387		303,517		—			(149,193		)	(10,850		)	2,945		5,985,806
Total available-for-sale	5,839,387		303,517		—			(149,193		)	(10,850		)	2,945		5,985,806
USDA Securities:
Available-for-sale	—		45,014		(45,014		)	—			—			—		—
Trading⁽¹⁾	11,558		—		—			(821		)	11			—		10,748
Total USDA Securities	11,558		45,014		(45,014		)	(821		)	11			—		10,748
Total Assets at fair value	$	5,874,075	$	348,531	$	(45,014	)	$	(152,042	)	$	(12,931	)	$	2,945	$	6,015,564


⁽¹⁾	Includes unrealized gains of $11,000 attributable to assets still held as of June 30, 2018 that are recorded in "Gains/(losses) on trading securities."



Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended June 30, 2017
	Beginning Balance		Purchases		Sales			Settlements			Realized and Unrealized Gains/(losses) included in Income			Unrealized Gains/(losses) included in Other Comprehe-nsive Income			Ending Balance
	(in thousands)
Recurring:
Assets:
Investment Securities:
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	18,124	$	—	$	—		$	—		$	—		$	394		$	18,518
Fixed rate GSE guaranteed mortgage-backed securities	$	4,819	$	—	$	—		$	(111	)	$	—		$	(57	)	$	4,651
Total available-for-sale	22,943		—		—			(111		)	—			337			23,169
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	5,243,046		194,288		—			(165,248		)	9,552			924			5,282,562
Total available-for-sale	5,243,046		194,288		—			(165,248		)	9,552			924			5,282,562
USDA Securities:
Available-for-sale	—		53,506		(53,506		)	—			—			—			—
Trading⁽¹⁾	18,602		—		—			(2,306		)	(2		)	—			16,294
Total USDA Securities	18,602		53,506		(53,506		)	(2,306		)	(2		)	—			16,294
Total Assets at fair value	$	5,284,591	$	247,794	$	(53,506	)	$	(167,665	)	$	9,550		$	1,261		$	5,322,025


⁽¹⁾	Includes unrealized gains of $0.1 million attributable to assets still held as of June 30, 2017 that are recorded in "Gains/(losses) on trading securities."



Level 3 Assets and Liabilities Measured at Fair Value for the Six Months Ended June 30, 2018
	Beginning Balance		Cumulative Effect from Change in Hedge Accounting		Purchases		Sales			Settlements			Realized and Unrealized (Losses) included in Income			Unrealized Gains/(Losses) included in Other Comprehe- nsive 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	—		$	—	$	—		$	—		$	—		$	196		$	19,010
Fixed rate GSE guaranteed mortgage-backed securities	4,333		—		—		—			(2,137		)	(2,092		)	(104		)	—
Total available-for-sale	23,147		—		—		—			(2,137		)	(2,092		)	92			19,010
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	5,471,914		487		958,964		—			(439,461		)	(29,798		)	23,700			5,985,806
Total available-for-sale	5,471,914		487		958,964		—			(439,461		)	(29,798		)	23,700			5,985,806
USDA Securities:
Available-for-sale	—		—		79,307		(79,307		)	—			—			—			—
Trading⁽¹⁾	13,515		—		—		—			(2,794		)	27			—			10,748
Total USDA Securities	13,515		—		79,307		(79,307		)	(2,794		)	27			—			10,748
Total Assets at fair value	$	5,508,576	$	487	$	1,038,271	$	(79,307	)	$	(444,392	)	$	(31,863	)	$	23,792		$	6,015,564


⁽¹⁾	Includes unrealized gains of $0.1 million attributable to assets still held as of June 30, 2018 that are recorded in "Gains/(losses) 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 June 30, 2018 and December 31, 2017.

Table 8.3



	As of June 30, 2018
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	$	19,010	Indicative bids	Range of broker quotes	96.5% - 96.5% (96.5%)
Farmer Mac Guaranteed Securities:
AgVantage	$	5,985,806	Discounted cash flow	Discount rate	2.7% - 4.0% (2.9%)

USDA Securities	$	10,748	Discounted cash flow	Discount rate	3.3% - 5.2% (4.9%)
				CPR	7% - 17% (16%)



	As of December 31, 2017
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	$	18,814	Indicative bids	Range of broker quotes	95.5% - 95.5% (95.5%)
Fixed rate GSE guaranteed mortgage-backed securities	$	4,333	Discounted cash flow	Discount rate	2.9%
				CPR	0 %
Farmer Mac Guaranteed Securities:
AgVantage	$	5,471,914	Discounted cash flow	Discount rate	2.1% - 3.4% (2.4%)

USDA Securities	$	13,515	Discounted cash flow	Discount rate	3.6% - 5.4% (5.0%)
				CPR	7% - 19% (17%)

The significant unobservable inputs used in the fair value measurements of Farmer Mac Guaranteed Securities and USDA Securities are prepayment rates and discount rates commensurate with the risks involved. Typically, significant increases (decreases) in any of these inputs in isolation may result in materially lower (higher) fair value measurements. Generally, in a rising interest rate environment, Farmer Mac would expect average discount rates to increase and would likely expect a corresponding decrease in forecasted prepayment rates. Conversely, in a declining interest rate environment, Farmer Mac would expect average discount rates to decrease and would likely expect a corresponding increase in forecasted prepayment rates. Prepayment rates are not presented in the table above for AgVantage securities because they generally do not pay down principal based on amortization schedules but instead typically have fixed maturity dates when the secured general obligations are due.

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 June 30, 2018 and December 31, 2017:

Table 8.4



	As of June 30, 2018				As of December 31, 2017
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	430,812	$	430,812	$	302,022	$	302,022
Investment securities	2,370,461		2,369,630		2,260,969		2,260,437
Farmer Mac Guaranteed Securities	8,060,393		8,078,898		7,588,806		7,598,188
USDA Securities	2,044,933		2,123,366		2,076,396		2,131,365
Loans	5,337,868		5,352,584		5,279,225		5,266,786
Financial derivatives	8,011		8,011		7,093		7,093
Guarantee and commitment fees receivable:
LTSPCs	37,181		36,141		33,871		35,718
Farmer Mac Guaranteed Securities	3,783		3,774		4,323		4,177
Financial liabilities:
Notes payable:
Due within one year	7,761,788		7,774,301		8,079,309		8,089,826
Due after one year	8,369,155		8,416,896		7,445,545		7,432,790
Debt securities of consolidated trusts held by third parties	1,416,899		1,449,888		1,386,652		1,404,945
Financial derivatives	20,164		20,164		26,599		26,599
Guarantee and commitment obligations:
LTSPCs	36,243		35,202		32,976		34,824
Farmer Mac Guaranteed Securities	3,234		3,226		3,722		3,576

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