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Farmer Mac Guaranteed Securities and USDA Securities (Tables)

12 Months Ended

Dec. 31, 2019

Investments, Debt and Equity Securities [Abstract]

Schedule of Farmer Mac Guaranteed Securities and USDA Securities

The following tables set forth information about Farmer Mac's investment securities as of December 31, 2019 and 2018:

Table 4.1


	As of December 31, 2019
	Amount Outstanding		Unamortized Premium/(Discount)		Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
	(in thousands)
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	19,700	$	—	$	19,700	$	—	$	(788)	$	18,912
Floating rate asset-backed securities	11,092		—		11,092		—		(7)		11,085

Floating rate Government/GSE guaranteed mortgage-backed securities	1,633,731		1,174		1,634,905		2,414		(4,736)		1,632,583
Fixed rate GSE guaranteed mortgage-backed securities	315		—		315		25		—		340
Fixed rate U.S. Treasuries	1,295,210		208		1,295,418		1,520		(15)		1,296,923
Total available-for-sale	2,960,048		1,382		2,961,430		3,959		(5,546)		2,959,843
Held-to-maturity:
Floating rate Government/GSE guaranteed mortgage-backed securities⁽¹⁾	45,032		—		45,032		953		—		45,985
Total investment securities	$	3,005,080	$	1,382	$	3,006,462	$	4,912	$	(5,546)	$	3,005,828

⁽¹⁾The held-to-maturity investment securities had a weighted average yield of 3.3% as of December 31, 2019.


	As of December 31, 2018
	Amount Outstanding		Unamortized Premium/(Discount)		Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
	(in thousands)
Available-for-sale:
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	19,700	$	—	$	19,700	$	—	$	(985)	$	18,715
Floating rate asset-backed securities	28,940		(136)		28,804		2		(128)		28,678
Floating rate Government/GSE guaranteed mortgage-backed securities	1,379,472		1,528		1,381,000		721		(4,267)		1,377,454
Fixed rate GSE guaranteed mortgage-backed securities	384		1		385		18		—		403
Fixed rate U.S. Treasuries	797,913		(4,882)		793,031		119		(548)		792,602
Total available-for-sale	2,226,409		(3,489)		2,222,920		860		(5,928)		2,217,852
Held-to-maturity:
Floating rate Government/GSE guaranteed mortgage-backed securities⁽¹⁾	45,032		—		45,032		562		—		45,594
Total investment securities	$	2,271,441	$	(3,489)	$	2,267,952	$	1,422	$	(5,928)	$	2,263,446

⁽¹⁾The held-to-maturity investment securities had a weighted average yield of 3.5% as of December 31, 2018.

The following tables set forth information about on-balance sheet Farmer Mac Guaranteed Securities and USDA Securities as of December 31, 2019 and 2018:

Table 5.1


	As of December 31, 2019
	Unpaid Principal Balance		Unamortized Premium/(Discount)		Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
	(in thousands)
Held-to-maturity:
AgVantage	$	1,415,584	$	(174)	$	1,415,410	$	15,300	$	(164)	$	1,430,546
Farmer Mac Guaranteed USDA Securities	31,887		154		32,041		839		—		32,880
Total Farmer Mac Guaranteed Securities	1,447,471		(20)		1,447,451		16,139		(164)		1,463,426
USDA Securities	2,190,671		41,489		2,232,160		54,356		(758)		2,285,758
Total held-to-maturity	$	3,638,142	$	41,469	$	3,679,611	$	70,495	$	(922)	$	3,749,184
Available-for-sale:
AgVantage	$	7,017,095	$	(124)	$	7,016,971	$	161,316	$	(35,262)	$	7,143,025
Trading:
USDA Securities⁽¹⁾	$	8,400	$	479	$	8,879	$	61	$	(27)	$	8,913

⁽¹⁾The trading USDA securities had a weighted average yield of 5.20% as of December 31, 2019.


	As of December 31, 2018
	Unpaid Principal Balance		Unamortized Premium/(Discount)		Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
	(in thousands)
Held-to-maturity:
AgVantage	$	2,069,185	$	(194)	$	2,068,991	$	2,637	$	(11,948)	$	2,059,680
Farmer Mac Guaranteed USDA Securities	27,383		244		27,627		98		—		27,725
Total Farmer Mac Guaranteed Securities	2,096,568		50		2,096,618		2,735		(11,948)		2,087,405
USDA Securities	2,110,963		55,211		2,166,174		—		(62,227)		2,103,947
Total held-to-maturity	$	4,207,531	$	55,261	$	4,262,792	$	2,735	$	(74,175)	$	4,191,352
Available-for-sale:
AgVantage	$	6,003,733	$	(204)	$	6,003,529	$	22,335	$	(51,367)	$	5,974,497
Trading:
USDA Securities⁽¹⁾	$	9,591	$	701	$	10,292	$	20	$	(313)	$	9,999

⁽¹⁾The trading USDA securities had a weighted average yield of 5.21% as of December 31, 2018.

Schedule of Unrealized Losses on Available-for-Sale Investment Securities

As of December 31, 2019 and 2018, unrealized losses on available-for-sale investment securities were as follows:

Table 4.2


	As of December 31, 2019
	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
	(dollars in thousands)
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	—	$	—	$	18,912	$	(788)
Floating rate asset-backed securities	2,583		(1)		8,502		(6)
Floating rate Government/GSE guaranteed mortgage-backed securities	841,993		(2,244)		436,621		(2,492)

Fixed rate U.S. Treasuries	35,107		(15)		—		—

Total	$	879,683	$	(2,260)	$	464,035	$	(3,286)

Number of securities in loss position			57				62


	As of December 31, 2018
	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
	(dollars in thousands)
Floating rate auction-rate certificates backed by Government guaranteed student loans	$	—	$	—	$	18,715	$	(985)
Floating rate asset-backed securities	6,456		(38)		19,058		(90)
Floating rate Government/GSE guaranteed mortgage-backed securities	927,416		(2,907)		196,416		(1,360)
Fixed rate U.S. Treasuries	499,581		(336)		81,597		(212)
Total	$	1,433,453	$	(3,281)	$	315,786	$	(2,647)

Number of securities in loss position			72				48

As of December 31, 2019 and 2018, unrealized losses on held-to-maturity and available-for-sale on-balance sheet Farmer Mac Guaranteed Securities and USDA Securities were as follows:

Table 5.2


	As of December 31, 2019
	Held-to-Maturity and 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)
Held-to-maturity:
AgVantage	$	—	$	—	$	301,836	$	(164)

USDA Securities	—		—		27,089		(758)
Total held-to-maturity	$	—	$	—	$	328,925	$	(922)

Available-for-sale:
AgVantage	$	225,239	$	(2,203)	$	1,394,802	$	(33,059)


	As of December 31, 2018
	Held-to-Maturity and 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)
Held-to-maturity:
AgVantage	$	669,610	$	(1,760)	$	976,318	$	(10,188)
USDA Securities	38,203		(696)		2,065,743		(61,531)
Total held-to-maturity	$	707,813	$	(2,456)	$	3,042,061	$	(71,719)

Available-for-sale:
AgVantage	$	1,480,423	$	(9,364)	$	1,599,679	$	(42,003)

Schedule of Available-for-Sale and Held-to-Maturity Securities Maturities

The amortized cost, fair value, and weighted-average yield of available-for-sale investment securities by remaining contractual maturity as of December 31, 2019 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.

Table 4.3


	As of December 31, 2019
	Available-for-Sale Securities
	Amortized Cost		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	1,226,467	$	1,227,930	1.57%
Due after one year through five years	271,300		270,938		2.19%
Due after five years through ten years	788,901		786,549		2.15%
Due after ten years	674,762		674,426		2.49%
Total	$	2,961,430	$	2,959,843	1.99%

The amortized cost, fair value, and weighted-average yield of available-for-sale and held-to-maturity Farmer Mac Guaranteed Securities and USDA Securities by remaining contractual maturity as of December 31, 2019 are set forth below. The balances presented are based on their final maturities, although the actual maturities may differ due to prepayments of the underlying assets.

Table 5.3


	As of December 31, 2019
	Available-for-Sale Securities
	Amortized Cost		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	781,341	$	781,680	2.35	%
Due after one year through five years	3,455,526		3,512,820		2.93	%
Due after five years through ten years	1,240,670		1,271,208		2.92	%
Due after ten years	1,539,434		1,577,317		3.30	%
Total	$	7,016,971	$	7,143,025	2.94	%


	As of December 31, 2019
	Held-to-Maturity Securities
	Amortized Cost		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	452,256	$	452,712	2.51	%
Due after one year through five years	1,045,189		1,061,151		3.23	%
Due after five years through ten years	207,706		210,690		3.40	%
Due after ten years	1,974,460		2,024,631		3.56	%
Total	$	3,679,611	$	3,749,184	3.33	%