Fair Value Disclosures - Fair Value Disclosures (Tables)
|
12 Months Ended |
Dec. 31, 2015 |
|---|
| Fair Value Disclosures [Abstract] |
|
| 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, 2015 and 2014, 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, 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 securities | — |
| | 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 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 |
|
| | | | | | | | | | | | | | | | | Assets and Liabilities Measured at Fair Value as of December 31, 2014 | | 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 | $ | — |
| | $ | — |
| | $ | 40,576 |
| | $ | 40,576 |
| Floating rate asset-backed securities | — |
| | 100,902 |
| | — |
| | 100,902 |
| Floating rate corporate debt securities | — |
| | 10,091 |
| | — |
| | 10,091 |
| Fixed rate corporate debt | — |
| | 30,025 |
| | — |
| | 30,025 |
| Floating rate Government/GSE guaranteed mortgage-backed securities | — |
| | 612,753 |
| | — |
| | 612,753 |
| Fixed rate GSE guaranteed mortgage-backed securities | — |
| | 8,202 |
| | — |
| | 8,202 |
| Floating rate GSE subordinated debt | — |
| | 66,320 |
| | — |
| | 66,320 |
| Fixed rate senior agency debt | — |
| | 18,939 |
| | — |
| | 18,939 |
| Floating rate U.S. Treasuries | 74,979 |
| | — |
| | — |
| | 74,979 |
| Fixed rate U.S. Treasuries | 975,712 |
| | — |
| | — |
| | 975,712 |
| Total available-for-sale | 1,050,691 |
| | 847,232 |
| | 40,576 |
| | 1,938,499 |
| Trading: | |
| | |
| | |
| | |
| Floating rate asset-backed securities | — |
| | — |
| | 689 |
| | 689 |
| Total trading | — |
| | — |
| | 689 |
| | 689 |
| Total Investment Securities | 1,050,691 |
| | 847,232 |
| | 41,265 |
| | 1,939,188 |
| Farmer Mac Guaranteed Securities: | |
| | |
| | |
| | |
| Available-for-sale: | |
| | |
| | |
| | |
| AgVantage | — |
| | — |
| | 3,631,662 |
| | 3,631,662 |
| Farmer Mac Guaranteed USDA Securities | — |
| | — |
| | 27,619 |
| | 27,619 |
| Total Farmer Mac Guaranteed Securities | — |
| | — |
| | 3,659,281 |
| | 3,659,281 |
| USDA Securities: | |
| | |
| | |
| | |
| Available-for-sale | — |
| | — |
| | 1,731,222 |
| | 1,731,222 |
| Trading | — |
| | — |
| | 40,310 |
| | 40,310 |
| Total USDA Guaranteed Securities | — |
| | — |
| | 1,771,532 |
| | 1,771,532 |
| Financial derivatives | — |
| | 4,177 |
| | — |
| | 4,177 |
| Total Assets at fair value | $ | 1,050,691 |
| | $ | 851,409 |
| | $ | 5,472,078 |
| | $ | 7,374,178 |
| Liabilities: | |
| | |
| | |
| | |
| Financial derivatives | $ | 3 |
| | $ | 84,841 |
| | $ | — |
| | $ | 84,844 |
| Total Liabilities at fair value | $ | 3 |
| | $ | 84,841 |
| | $ | — |
| | $ | 84,844 |
| Nonrecurring: | |
| | |
| | |
| | |
| Assets: | |
| | |
| | |
| | |
| Loans held for investment | $ | — |
| | $ | — |
| | $ | 5,973 |
| | $ | 5,973 |
| Total Nonrecurring Assets at fair value | $ | — |
| | $ | — |
| | $ | 5,973 |
| | $ | 5,973 |
|
|
| 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 year ended December 31, 2015.
Table 13.2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level 3 Assets and Liabilities Measured at Fair Value for the Year Ended December 31, 2015 | | 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 | $ | 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/(losses) 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/(losses) 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 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 | $ | 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(3) | 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: | |
| | |
| | |
| | | | |
| | | | | | | Financial derivatives | $ | (235 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | 235 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | (235 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | 235 |
| | $ | — |
| | $ | — |
| | $ | — |
|
| | (1) | Unrealized gains are attributable to assets still held as of December 31, 2014 and are recorded in "Gains/(losses) 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/(losses) on trading securities." |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level 3 Assets and Liabilities Measured at Fair Value for the the Year Ended December 31, 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 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 2,126 |
| | $ | 65,285 |
| Floating rate Government/GSE guaranteed mortgage-backed securities | — |
| | 233 |
| | — |
| | (24 | ) | | — |
| | (4 | ) | | 205 |
| Total available-for-sale | 63,159 |
| | 233 |
| | — |
| | (24 | ) | | — |
| | 2,122 |
| | 65,490 |
| Trading: | | | | | | | | | | | | | | Floating rate asset-backed securities(1) | 1,247 |
| | — |
| | — |
| | (774 | ) | | 455 |
| | — |
| | 928 |
| Total trading | 1,247 |
| | — |
| | — |
| | (774 | ) | | 455 |
| | — |
| | 928 |
| Total Investment Securities | 64,406 |
| | 233 |
| | — |
| | (798 | ) | | 455 |
| | 2,122 |
| | 66,418 |
| Farmer Mac Guaranteed Securities: | |
| | |
| | |
| | | | |
| | | | |
| Available-for-sale: | | | | | | | | | | | | | | AgVantage | 4,739,577 |
| | 1,273,500 |
| | — |
| | (844,437 | ) | | (18,230 | ) | | (80,044 | ) | | 5,070,366 |
| Farmer Mac Guaranteed USDA Securities | 26,681 |
| | — |
| | — |
| | (5,214 | ) | | — |
| | (233 | ) | | 21,234 |
| Total Farmer Mac Guaranteed Securities | 4,766,258 |
| | 1,273,500 |
| | — |
| | (849,651 | ) | | (18,230 | ) | | (80,277 | ) | | 5,091,600 |
| USDA Securities: | | | | | | | | | | | | | | Available-for-sale | 1,486,595 |
| | 361,894 |
| | — |
| | (234,035 | ) | | — |
| | (60,785 | ) | | 1,553,669 |
| Trading(2) | 104,188 |
| | — |
| | — |
| | (44,570 | ) | | (1,274 | ) | | — |
| | 58,344 |
| Total USDA Securities | 1,590,783 |
| | 361,894 |
| | — |
| | (278,605 | ) | | (1,274 | ) | | (60,785 | ) | | 1,612,013 |
| Total Assets at fair value | $ | 6,421,447 |
| | $ | 1,635,627 |
| | $ | — |
| | $ | (1,129,054 | ) | | $ | (19,049 | ) | | $ | (138,940 | ) | | $ | 6,770,031 |
| Liabilities: | | | | | | | | | | | | | | Financial derivatives(3) | $ | (691 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | 456 |
| | $ | — |
| | $ | (235 | ) | Total Liabilities at fair value | $ | (691 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | 456 |
| | $ | — |
| | $ | (235 | ) |
| | (1) | Unrealized gains are attributable to assets still held as of December 31, 2013 and are recorded in "Gains/(losses) on trading securities." |
| | (2) | Includes unrealized gains of $0.5 million attributable to assets still held as of December 31, 2013 that are recorded in "Gains/(losses) on trading securities." |
| | (3) | Unrealized gains are attributable to liabilities still held as of December 31, 2013 and are recorded in "Gains/(losses) on financial derivatives and hedging activities." |
|
| 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, 2015 and 2014.
Table 13.3 | | | | | | | | | | | | | | 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%) |
| | | | | | | | | | | | | | As of December 31, 2014 | 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 | | $ | 40,576 |
| | Indicative bids | | Range of broker quotes | | 82.0% - 94.0% (87.1%) | Floating rate asset-backed securities | | $ | 689 |
| | Discounted cash flow | | Discount rate | | 14.3% - 23.9% (19.1%) | | | | | | | CPR | | 10.0% | Farmer Mac Guaranteed Securities: | | | | | | | | | AgVantage | | $ | 3,631,662 |
| | Discounted cash flow | | Discount rate | | 0.7% - 2.7% (1.3%) | Farmer Mac Guaranteed USDA Securities | | $ | 27,619 |
| | Discounted cash flow | | Discount rate | | 0.8% - 3.6% (1.9%) | | | | | | | CPR | | 0% - 21% (9.0%) | USDA Securities | | $ | 1,771,532 |
| | Discounted cash flow | | Discount rate | | 1.1% - 5.3% (3.2%) | | | | | | | CPR | | 0% - 20% (8.0%) |
|
| 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, 2015 and 2014:
Table 13.4
| | | | | | | | | | | | | | | | | | As of December 31, 2015 | | As of December 31, 2014 | | Fair Value | | Carrying
Amount | | Fair Value | | Carrying
Amount | | (in thousands) | Financial assets: | | | | | | | | Cash and cash equivalents | $ | 1,210,084 |
| | $ | 1,210,084 |
| | $ | 1,363,387 |
| | $ | 1,363,387 |
| Investment securities | 2,775,516 |
| | 2,775,516 |
| | 1,939,188 |
| | 1,939,188 |
| Farmer Mac Guaranteed Securities | 5,434,422 |
| | 5,426,621 |
| | 5,459,857 |
| | 5,453,901 |
| USDA Securities | 1,917,319 |
| | 1,917,319 |
| | 1,771,532 |
| | 1,771,532 |
| Loans | 4,027,660 |
| | 3,962,044 |
| | 3,547,424 |
| | 3,520,075 |
| Financial derivatives | 3,816 |
| | 3,816 |
| | 4,177 |
| | 4,177 |
| Guarantee and commitment fees receivable: | | | | | | | | LTSPCs | 31,953 |
| | 31,240 |
| | 29,095 |
| | 27,807 |
| Farmer Mac Guaranteed Securities | 8,872 |
| | 8,949 |
| | 11,876 |
| | 11,655 |
| Financial liabilities: | | | | | | | | Notes payable: | | | | | | | | Due within one year | 9,108,468 |
| | 9,111,461 |
| | 7,357,770 |
| | 7,353,953 |
| Due after one year | 5,009,310 |
| | 4,967,036 |
| | 5,556,570 |
| | 5,471,186 |
| Debt securities of consolidated trusts held by third parties | 713,316 |
| | 713,536 |
| | 423,085 |
| | 424,214 |
| Financial derivatives | 77,199 |
| | 77,199 |
| | 84,844 |
| | 84,844 |
| Guarantee and commitment obligations: | | | | | | | | LTSPCs | 31,015 |
| | 30,301 |
| | 28,130 |
| | 26,843 |
| Farmer Mac Guaranteed Securities | 8,230 |
| | 8,308 |
| | 11,303 |
| | 11,082 |
|
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 sale, 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. |