Investment Securities

3 Months Ended

Mar. 31, 2012

Notes to Financial Statements [Abstract]

Investment Securities

2. INVESTMENT SECURITIES

The following tables present the amortized cost and fair values of Farmer Mac's investment securities as of March 31, 2012 and December 31, 2011:

	March 31, 2012
	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
	(in thousands)
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	74,100	$	—	$	(15,232	)	$	58,868
Floating rate asset-backed securities	184,006		202		(158		)	184,050
Floating rate corporate debt securities	79,239		387		(4		)	79,622
Fixed rate corporate debt securities	64,245		96		(31		)	64,310
Floating rate Government/GSE guaranteed mortgage-backed securities	734,239		6,508		(225		)	740,522
Fixed rate GSE guaranteed mortgage-backed securities	2,847		240		—			3,087
Floating rate GSE subordinated debt	70,000		—		(16,726		)	53,274
Fixed rate GSE preferred stock	79,571		5,797		—			85,368
Floating rate senior agency debt	25,000		60		—			25,060
Fixed rate senior agency debt	89,241		48		—			89,289
Fixed rate U.S. Treasuries	990,133		50		(191		)	989,992
Total available-for-sale	2,392,621		13,388		(32,567		)	2,373,442
Trading:
Floating rate asset-backed securities	4,850		—		(3,204		)	1,646
Total investment securities	$	2,397,471	$	13,388	$	(35,771	)	$	2,375,088

	December 31, 2011
	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
	(in thousands)
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	74,100	$	—	$	(13,887	)	$	60,213
Floating rate asset-backed securities	178,443		219		(102		)	178,560
Floating rate corporate debt securities	74,152		69		(388		)	73,833
Fixed rate corporate debt securities	38,678		27		(6		)	38,699
Floating rate Government/GSE guaranteed mortgage-backed securities	759,567		4,852		(381		)	764,038
Fixed rate GSE guaranteed mortgage-backed securities	3,106		254		—			3,360
Floating rate GSE subordinated debt	70,000		—		(17,438		)	52,562
Fixed rate commercial paper	9,999		1		—			10,000
Fixed rate GSE preferred stock	79,662		5,216		—			84,878
Floating rate senior agency debt	38,000		32		—			38,032
Fixed rate senior agency debt	79,255		19		(21		)	79,253
Fixed rate U.S. Treasuries	798,966		304		(4		)	799,266
Total available-for-sale	2,203,928		10,993		(32,227		)	2,182,694
Trading:
Floating rate asset-backed securities	5,138		—		(3,342		)	1,796
Total investment securities	$	2,209,066	$	10,993	$	(35,569	)	$	2,184,490

During the three months ended March 31, 2012, Farmer Mac received proceeds of $5.0 million from the sale of securities from its available-for-sale investment portfolio, resulting in gross realized gains of $28,000, compared to proceeds of $78.6 million for the same period in 2011, resulting in gross realized gains of $0.2 million.

As of March 31, 2012 and December 31, 2011, unrealized losses on available-for-sale securities were as follows:

	March 31, 2012
	Available-for-Sale Securities
	Unrealized loss position for less than 12 months					Unrealized loss position for more than 12 months
	Fair Value		Unrealized Loss			Fair Value		Unrealized Loss
	(in thousands)
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	—	$	—		$	58,868	$	(15,232	)
Floating rate asset-backed securities	51,923		(158		)	—		—
Floating rate corporate debt securities	1,995		(4		)	—		—
Fixed rate corporate debt securities	43,901		(31		)	—		—
Floating rate Government/GSE guaranteed mortgage-backed securities	114,983		(187		)	15,318		(38		)
Floating rate GSE subordinated debt	—		—			53,274		(16,726		)
Fixed rate U.S. Treasuries	611,604		(191		)	—		—
Total	$	824,406	$	(571	)	$	127,460	$	(31,996	)

	December 31, 2011
	Available-for-Sale Securities
	Unrealized loss position for less than 12 months					Unrealized loss position for more than 12 months
	Fair Value		Unrealized Loss			Fair Value		Unrealized Loss
	(in thousands)
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	—	$	—		$	60,213	$	(13,887	)
Floating rate asset-backed securities	63,496		(102		)	—		—
Floating rate corporate debt securities	41,061		(388		)	—		—
Fixed rate corporate debt securities	18,189		(6		)	—		—
Floating rate Government/GSE guaranteed mortgage-backed securities	235,454		(359		)	17,409		(22		)
Floating rate GSE subordinated debt	—		—			52,562		(17,438		)
Fixed rate senior agency debt	44,976		(21		)	—		—
Fixed rate U.S. Treasuries	50,160		(4		)	—		—
Total	$	453,336	$	(880	)	$	130,184	$	(31,347	)

The unrealized losses presented above are principally due to a general widening of credit spreads from the dates of acquisition to March 31, 2012 and December 31, 2011, as applicable.  The resulting decreases in fair values reflect an increase in the perceived risk by the financial markets related to those securities. As of March 31, 2012 and December 31, 2011, all of the investment securities in an unrealized loss position had credit ratings of at least "A" except one that was rated "A-" and one that was rated "BBB+".  The unrealized losses were on 43 and 44 individual investment securities as of March 31, 2012 and December 31, 2011, respectively.

As of March 31, 2012, 9 of the securities in loss positions had been in loss positions for more than 12 months and had a total unrealized loss of $32.0 million.  As of December 31, 2011, 10 of the securities in loss positions had been in loss positions for more than 12 months and had a total unrealized loss of $31.3 million.  The unrealized losses on those securities are principally due to a general widening of credit spreads from the dates of acquisition.  Securities in unrealized loss positions 12 months or more have a fair value as of March 31, 2012 that is, on average, approximately 80 percent of their amortized cost basis.  Farmer Mac believes that all of these unrealized losses are recoverable within a reasonable period of time by way of changes in credit spreads or maturity.  Accordingly, Farmer Mac has concluded that none of the unrealized losses on these available-for-sale investment securities represent other-than-temporary impairment as of March 31, 2012.  Farmer Mac does not intend to sell these securities and it is not more likely than not that Farmer Mac will be required to sell the securities before recovery of the amortized cost basis.

Farmer Mac did not own any held-to-maturity investment securities as of March 31, 2012 and December 31, 2011. As of March 31, 2012, Farmer Mac owned trading investment securities with an amortized cost of $4.9 million, a fair value of $1.6 million and a weighted average yield of

4.33 percent.  As of December 31, 2011, Farmer Mac owned trading investment securities with an amortized cost of $5.1 million, a fair value of $1.8 million and a weighted average yield of 4.36 percent.

The amortized cost, fair value and weighted average yield of available-for-sale investment securities by remaining contractual maturity as of March 31, 2012 are set forth below.  Asset-backed and mortgage-backed securities are included based on their final maturities, although the actual maturities may differ due to prepayments of the underlying assets or mortgages.

	Investment Securities Available-for-Sale as of March 31, 2012
	Amortized Cost		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	1,092,302	$	1,092,216	0.82%
Due after one year through five years	174,132		174,636		1.27%
Due after five years through ten years	398,290		400,316		1.18%
Due after ten years	727,897		706,274		2.48%
Total	$	2,392,621	$	2,373,442	1.42%