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Fair Value Disclosures (Tables)
 9 Months Ended
Sep. 30, 2020
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 basis as of September 30, 2020 and December 31, 2019, respectively, and indicate the fair value hierarchy of the valuation techniques used by Farmer Mac to determine such fair value:

Table 9.1
Assets and Liabilities Measured at Fair Value as of September 30, 2020
 Level 1Level 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$— $— $19,072 $19,072 
Floating rate asset-backed securities— 9,201 — 9,201 
Floating rate Government/GSE guaranteed mortgage-backed securities— 2,286,033 — 2,286,033 
Fixed rate GSE guaranteed mortgage-backed securities— 318 — 318 
Fixed rate U.S. Treasuries1,217,566 — — 1,217,566 
Total Investment Securities1,217,566 2,295,552 19,072 3,532,190 
Farmer Mac Guaranteed Securities:    
Available-for-sale:    
AgVantage— — 7,511,638 7,511,638 
Total Farmer Mac Guaranteed Securities— — 7,511,638 7,511,638 
USDA Securities:    
Trading— — 6,830 6,830 
Total USDA Securities— — 6,830 6,830 
Financial derivatives9 12,828 — 12,837 
Total Assets at fair value$1,217,575 $2,308,380 $7,537,540 $11,063,495 
Liabilities:    
Financial derivatives$— $37,357 $— $37,357 
Total Liabilities at fair value$— $37,357 $— $37,357 
Non-recurring:
Assets
Loans held for sale$— $— $22,086 $22,086 
Total non-recurring assets at fair value$— $— $22,086 $22,086 
(1) Level 3 assets represent 32% of total assets and 68% of financial instruments measured at fair value.
Assets and Liabilities Measured at Fair Value as of December 31, 2019
 Level 1Level 2
Level 3(1)
Total
 (in thousands)
Recurring: 
Assets:    
Investment Securities:    
Available-for-sale:    
Floating rate auction-rate certificates backed by Government guaranteed student loans$— $— $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. Treasuries1,296,923 — — 1,296,923 
Total available-for-sale1,296,923 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.
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 three and nine months ended September 30, 2020 and 2019.

Table 9.2

Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended September 30, 2020
  Beginning
Balance		PurchasesSalesSettlementsAllowance for lossesRealized and
unrealized gains/(losses) 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$18,283 $— $— $— $1 $— $788 $19,072 
Total available-for-sale18,283 — — — 1 — 788 19,072 
Farmer Mac Guaranteed Securities:     
Available-for-sale:     
AgVantage7,898,387 122,892 — (513,864)(96)(41,832)46,151 7,511,638 
Total available-for-sale7,898,387 122,892 — (513,864)(96)(41,832)46,151 7,511,638 
USDA Securities:     
Trading7,786 — — (697)— (259)— 6,830 
Total USDA Securities7,786 — — (697)(259)— 6,830 
Total Assets at fair value$7,924,456 $122,892 $— $(514,561)$(95)$(42,091)$46,939 $7,537,540 
Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended September 30, 2019
  Beginning
Balance		PurchasesSalesSettlementsRealized and
unrealized gains/(losses) 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$19,208 $— $— $— $— $— $19,208 
Total available-for-sale19,208 — — — — — 19,208 
Farmer Mac Guaranteed Securities:     
Available-for-sale:     
AgVantage7,035,668 340,148 — (254,593)84,164 (22,846)7,182,541 
Total available-for-sale7,035,668 340,148 — (254,593)84,164 (22,846)7,182,541 
USDA Securities:     
Available-for-sale— 9,506 (9,506)— — — — 
Trading9,201 — — (307)49 — 8,943 
Total USDA Securities9,201 9,506 (9,506)(307)49 — 8,943 
Total Assets at fair value$7,064,077 $349,654 $(9,506)$(254,900)$84,213 $(22,846)$7,210,692 

Level 3 Assets and Liabilities Measured at Fair Value for the Nine Months Ended September 30, 2020
Beginning BalancePurchasesSalesSettlementsAllowance for LossesRealized and
unrealized gains/(losses) 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$18,912 $— $— $— $(37)$— $197 $19,072 
Total available-for-sale18,912 — — — (37)— 197 19,072 
Farmer Mac Guaranteed Securities:
Available-for-sale:
AgVantage7,143,025 958,368 — (826,380)(330)257,597 (20,642)7,511,638 
Total available-for-sale7,143,025 958,368 — (826,380)(330)257,597 (20,642)7,511,638 
USDA Securities:
Trading8,913 — — (1,910)— (173)— 6,830 
Total USDA Securities8,913 — — (1,910)(173)— 6,830 
Total Assets at fair value$7,170,850 $958,368 $— $(828,290)$(367)$257,424 $(20,445)$7,537,540 
Level 3 Assets and Liabilities Measured at Fair Value for the Nine Months Ended September 30, 2019
  Beginning
Balance		PurchasesSalesSettlementsRealized and
unrealized gains/(losses) 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 $— $— $— $— $493 $19,208 
Total available-for-sale18,715 — — — — 493 19,208 
Farmer Mac Guaranteed Securities:     
Available-for-sale:     
AgVantage5,974,497 1,730,244 — (724,906)258,155 (55,449)7,182,541 
Total available-for-sale5,974,497 1,730,244 — (724,906)258,155 (55,449)7,182,541 
USDA Securities:     
Available-for-sale— 57,853 (57,853)— — — — 
Trading9,999 — — (1,210)154 — 8,943 
Total USDA Securities9,999 57,853 (57,853)(1,210)154 — 8,943 
Total Assets at fair value$6,003,211 $1,788,097 $(57,853)$(726,116)$258,309 $(54,956)$7,210,692 
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 September 30, 2020 and December 31, 2019:

Table 9.3
As of September 30, 2020
Financial InstrumentsFair ValueValuation TechniqueUnobservable InputRange (Weighted-Average)
(in thousands)
Assets:
Investment securities:
Floating rate auction-rate certificates backed by Government guaranteed student loans$19,072 Indicative bidsRange of broker quotes
97.0% - 97.0% (97.0%)
Farmer Mac Guaranteed Securities:
AgVantage$7,511,638 Discounted cash flowDiscount rate
0.8% - 2.3% (1.2%)
USDA Securities$6,830 Discounted cash flowDiscount rate
1.3% - 3.3% (2.6%)
CPR
23% - 49% (43%)
As of December 31, 2019
Financial InstrumentsFair ValueValuation TechniqueUnobservable InputRange (Weighted-Average)
(in thousands)
Assets:
Investment securities:
Floating rate auction-rate certificates backed by Government guaranteed student loans$18,912 Indicative bidsRange of broker quotes
96.0% - 96.0% (96.0%)
Farmer Mac Guaranteed Securities:
AgVantage$7,143,025 Discounted cash flowDiscount rate
2.3% - 5.5% (2.6%)
USDA Securities$8,913 Discounted cash flowDiscount rate
2.3% - 2.6% (2.1%)
CPR
10% - 21% (19%)
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 September 30, 2020 and December 31, 2019:

Table 9.4
 As of September 30, 2020As of December 31, 2019
 Fair ValueCarrying
Amount		Fair ValueCarrying
Amount
 (in thousands)
Financial assets:    
Cash and cash equivalents$910,592 $910,592 $604,381 $604,381 
Investment securities3,578,375 3,577,222 3,005,828 3,004,875 
Farmer Mac Guaranteed Securities8,739,103 8,712,208 8,606,451 8,590,476 
USDA Securities2,522,001 2,417,678 2,294,671 2,241,073 
Loans8,450,522 8,105,647 7,317,091 6,981,440 
Financial derivatives12,837 12,837 10,519 10,519 
Guarantee and commitment fees receivable34,801 36,664 36,732 38,442 
Financial liabilities:
Notes payable21,893,043 21,589,285 19,234,079 19,098,648 
Debt securities of consolidated trusts held by third parties1,337,741 1,292,416 1,663,177 1,616,504 
Financial derivatives37,357 37,357 27,042 27,042 
Guarantee and commitment obligations33,278 35,140 34,990 36,700