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Fair Value Disclosures (Tables)

12 Months Ended

Dec. 31, 2019

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, 2019 and 2018, 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, 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 Investment Securities	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.


Assets and Liabilities Measured at Fair Value as of December 31, 2018
	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	$	—	$	—	$	18,715	$	18,715
Floating rate asset-backed securities	—		28,678		—		28,678
Floating rate Government/GSE guaranteed mortgage-backed securities	—		1,377,454		—		1,377,454
Fixed rate GSE guaranteed mortgage-backed securities	—		403		—		403
Fixed rate U.S. Treasuries	792,602		—		—		792,602
Total available-for-sale	792,602		1,406,535		18,715		2,217,852
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	—		—		5,974,497		5,974,497
Total Farmer Mac Guaranteed Securities	—		—		5,974,497		5,974,497
USDA Securities:
Trading	—		—		9,999		9,999
Total USDA Securities	—		—		9,999		9,999
Financial derivatives	—		7,487		—		7,487
Total Assets at fair value	$	792,602	$	1,414,022	$	6,003,211	$	8,209,835
Liabilities:
Financial derivatives	$	188	$	19,445	$	—	$	19,633
Total Liabilities at fair value	$	188	$	19,445	$	—	$	19,633

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, 2019 and 2018.

Table 13.2


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 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	$	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/(losses) on trading securities."


Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2017
	Beginning Balance		Transfers in		Purchases		Sales		Settlements		Realized and Unrealized Losses included in Income		Unrealized 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	$	17,730	$	—	$	—	$	—	$	—	$	—	$	1,084	$	18,814
Fixed rate GSE guaranteed mortgage-backed securities	—		$	7,041	—		—		(444)		—		(2,264)		4,333
Total available-for-sale	17,730		7,041		—		—		(444)		—		(1,180)		23,147
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage	4,853,685		—		1,134,132		—		(526,650)		(7,625)		18,372		5,471,914
Total available-for-sale	4,853,685		—		1,134,132		—		(526,650)		(7,625)		18,372		5,471,914
USDA Securities:
Available-for-sale	—		—		155,744		(155,744)		—		—		—		—
Trading⁽¹⁾	20,388		—		—		—		(6,849)		(24)		—		13,515
Total USDA Securities	20,388		—		155,744		(155,744)		(6,849)		(24)		—		13,515
Total Assets at fair value	$	4,891,803	$	7,041	$	1,289,876	$	(155,744)	$	(533,943)	$	(7,649)	$	17,192	$	5,508,576

⁽¹⁾Includes unrealized gains of $0.1 million attributable to assets still held as of December 31, 2017 that are recorded in "Gains/(losses) 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, 2019 and 2018:

Table 13.3

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%)

As of December 31, 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

18,715

Indicative bids

Range of broker quotes

95.0% - 95.0% (95.0%)

Farmer Mac Guaranteed Securities:

AgVantage

5,974,497

Discounted cash flow

Discount rate

3.0% - 4.4% (3.3%)

USDA Securities

9,999

Discounted cash flow

Discount rate

3.2% - 5.2% (4.9%)

CPR

7% - 17% (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 December 31, 2019 and 2018:

Table 13.4


	As of December 31, 2019						As of December 31, 2018
	Fair Value		Carrying Amount		Fair Value		Carrying Amount
	(in thousands)
Financial assets:
Cash and cash equivalents	$	604,381	$	604,381	$	425,256	$	425,256
Investment securities	3,005,828		3,004,875		2,263,446		2,262,884
Farmer Mac Guaranteed Securities	8,606,451		8,590,476		8,061,903		8,071,115
USDA Securities	2,294,671		2,241,073		2,113,946		2,176,173
Loans	7,317,091		6,981,440		5,512,781		5,515,052
Financial derivatives	10,519		10,519		7,487		7,487
Guarantee and commitment fees receivable:
LTSPCs	34,107		35,600		37,461		36,870
Farmer Mac Guaranteed Securities	2,625		2,842		3,424		3,496
Financial liabilities:
Notes payable:
Due within one year	10,024,109		10,019,082		7,744,388		7,757,050
Due after one year	9,209,970		9,079,566		8,473,558		8,486,647
Debt securities of consolidated trusts held by third parties	1,663,177		1,616,504		1,501,754		1,528,957
Financial derivatives	27,042		27,042		19,633		19,633
Guarantee and commitment obligations:
LTSPCs	32,977		34,470		36,471		35,880
Farmer Mac Guaranteed Securities	2,013		2,230		2,731		2,803

- 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.

+ References + Details