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Farmer Mac Guaranteed Securities and USDA Securities (Tables)

9 Months Ended

Sep. 30, 2021

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 available-for-sale and held-to-maturity investment securities as of September 30, 2021 and December 31, 2020:

Table 2.1


	As of September 30, 2021
	Amount Outstanding		Unamortized Premium/(Discount)		Amortized Cost(1)		Allowance for losses(2)		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	$	(52)	$	—	$	(148)	$	19,500


Floating rate Government/GSE guaranteed mortgage-backed securities	2,386,373		4,127		2,390,500		—		14,827		(2,253)		2,403,074
Fixed rate GSE guaranteed mortgage-backed securities	28,170		791		28,961		—		21		(85)		28,897
Fixed rate U.S. Treasuries	1,239,500		5,405		1,244,905		—		162		(334)		1,244,733
Total available-for-sale	3,673,743		10,323		3,684,066		(52)		15,010		(2,820)		3,696,204
Held-to-maturity:
Floating rate Government/GSE guaranteed mortgage-backed securities(3)	45,032		—		45,032		—		996		—		46,028
Total held-to-maturity	$	45,032	$	—	$	45,032	$	—	$	996	$	—	$	46,028

(1)Amounts presented exclude $4.7 million of accrued interest receivable on investment securities as of September 30, 2021.

(2)Represents the amount of impairment that has resulted from credit-related factors, and therefore was recognized in the consolidated statement of operations as a provision for losses. Amount excludes unrealized losses relating to non-credit factors.

(3)The held-to-maturity investment securities had a weighted average yield of 1.5% as of September 30, 2021.


	As of December 31, 2020
	Amount Outstanding		Unamortized Premium/(Discount)		Amortized Cost(1)		Allowance for losses(2)		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	$	(36)	$	—	$	(493)	$	19,171
Floating rate asset-backed securities	6,232		—		6,232		—		—		(1)		6,231
Floating rate Government/GSE guaranteed mortgage-backed securities	2,350,963		(44)		2,350,919		—		12,150		(3,043)		2,360,026
Fixed rate GSE guaranteed mortgage-backed securities	279		—		279		—		34		—		313
Fixed rate U.S. Treasuries	1,449,408		17,128		1,466,536		—		1,458		(43)		1,467,951
Total available-for-sale	3,826,582		17,084		3,843,666		(36)		13,642		(3,580)		3,853,692
Held-to-maturity:
Floating rate Government/GSE guaranteed mortgage-backed securities(3)	45,032		—		45,032		—		1,201		—		46,233
Total held-to-maturity	$	45,032	$	—	$	45,032	$	—	$	1,201	$	—	$	46,233

(1)Amounts presented exclude $9.0 million of accrued interest receivable on investment securities as of December 31, 2020.

(3)The held-to-maturity investment securities had a weighted average yield of 1.5% as of December 31, 2020.

The following tables set forth information about on-balance sheet Farmer Mac Guaranteed Securities and USDA Securities as of September 30, 2021 and December 31, 2020:

Table 3.1


	As of September 30, 2021
	Unpaid Principal Balance		Unamortized Premium/(Discount)		Amortized Cost(1)		Allowance for losses(2)		Unrealized Gains		Unrealized Losses		Fair Value
	(in thousands)
Held-to-maturity:
AgVantage	$	2,220,224	$	(13)	$	2,220,211	$	(173)	$	13,626	$	(8,134)	$	2,225,530
Farmer Mac Guaranteed USDA Securities	28,227		38		28,265		—		936		—		29,201
Total Farmer Mac Guaranteed Securities	2,248,451		25		2,248,476		(173)		14,562		(8,134)		2,254,731
USDA Securities	2,429,950		27,267		2,457,217		—		86,988		(791)		2,543,414
Total held-to-maturity	$	4,678,401	$	27,292	$	4,705,693	$	(173)	$	101,550	$	(8,925)	$	4,798,145
Available-for-sale:
AgVantage	$	5,908,666	$	1,323	$	5,909,989	$	(290)	$	245,361	$	(16,301)	$	6,138,759
Trading:
USDA Securities(3)	$	4,632	$	115	$	4,747	$	—	$	48	$	(2)	$	4,793

(1)Amounts presented exclude $30.4 million, $37.5 million, and $0.1 million of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of September 30, 2021.

(2)Represents the amount of impairment that has resulted from credit-related factors, and therefore was recognized in the statement of financial operations as a provision for losses. Amount excludes unrealized losses relating to non-credit factors.

(3)The trading USDA securities had a weighted average yield of 5.13% as of September 30, 2021.


	As of December 31, 2020
	Unpaid Principal Balance		Unamortized Premium/(Discount)		Amortized Cost(1)		Allowance for losses(2)		Unrealized Gains		Unrealized Losses		Fair Value
	(in thousands)
Held-to-maturity:
AgVantage	$	1,141,430	$	(55)	$	1,141,375	$	(120)	$	23,986	$	(61)	$	1,165,180
Farmer Mac Guaranteed USDA Securities	34,456		81		34,537		—		1,273		—		35,810
Total Farmer Mac Guaranteed Securities	1,175,886		26		1,175,912		(120)		25,259		(61)		1,200,990
USDA Securities	2,446,550		27,076		2,473,626		—		157,748		(560)		2,630,814
Total held-to-maturity	$	3,622,436	$	27,102	$	3,649,538	$	(120)	$	183,007	$	(621)	$	3,831,804
Available-for-sale:
AgVantage	$	6,593,518	$	1,474	$	6,594,992	$	(310)	$	368,257	$	(15,238)	$	6,947,701
Trading:
USDA Securities(3)	$	6,413	$	198	$	6,611	$	—	$	84	$	—	$	6,695

(1)Amounts presented exclude $32.3 million, $44.7 million, and $0.2 million of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of December 31, 2020.

(3)The trading USDA securities had a weighted average yield of 5.05% as of December 31, 2020.

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

As of September 30, 2021 and December 31, 2020, unrealized losses on available-for-sale investment securities were as follows:

Table 2.2


	As of September 30, 2021
	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	$	—	$	—	$	19,500	$	(148)

Floating rate Government/GSE guaranteed mortgage-backed securities	155,001		(1,823)		29,211		(430)
Fixed rate Government/GSE guaranteed mortgage-backed securities	28,706		(85)		—		—

Fixed rate U.S. Treasuries	472,909		(334)		—		—

Total	$	656,616	$	(2,242)	$	48,711	$	(578)

Number of securities in loss position			21				24


	As of December 31, 2020
	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	$	—	$	—	$	19,171	$	(493)
Floating rate asset-backed securities	—		—		6,231		(1)
Floating rate Government/GSE guaranteed mortgage-backed securities	172,842		(593)		324,423		(2,450)
Fixed rate U.S. Treasuries	364,320		(43)		—		—
Total	$	537,162	$	(636)	$	349,825	$	(2,944)

Number of securities in loss position			27				62

As of September 30, 2021 and December 31, 2020, unrealized losses on held-to-maturity and available-for-sale on-balance sheet Farmer Mac Guaranteed Securities and USDA Securities were as follows:

Table 3.2


	As of September 30, 2021
	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	$	1,596,866	$	(8,134)	$	—	$	—

USDA Securities	—		—		16,671		(791)
Total held-to-maturity	$	1,596,866	$	(8,134)	$	16,671	$	(791)

Available-for-sale:
AgVantage	$	1,204,379	$	(13,381)	$	90,853	$	(2,920)


	As of December 31, 2020
	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	$	49,939	$	(61)	$	—	$	—

USDA Securities	—		—		21,061		(560)
Total held-to-maturity	$	49,939	$	(61)	$	21,061	$	(560)

Available-for-sale:
AgVantage	$	133,703	$	(231)	$	981,757	$	(15,007)

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 September 30, 2021 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 2.3


	As of September 30, 2021
	Available-for-Sale Securities
	Amortized Cost		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	678,261	$	678,387	1.64%
Due after one year through five years	845,628		846,303		0.55%
Due after five years through ten years	1,446,607		1,450,446		0.64%
Due after ten years	713,570		721,068		0.64%
Total	$	3,684,066	$	3,696,204	0.81%

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 September 30, 2021 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 3.3


	As of September 30, 2021
	Available-for-Sale Securities
	Amortized Cost(1)		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	1,643,186	$	1,653,306	1.59	%
Due after one year through five years	1,821,449		1,899,828		2.70	%
Due after five years through ten years	865,954		897,786		2.11	%
Due after ten years	1,579,400		1,687,839		2.46	%
Total	$	5,909,989	$	6,138,759	2.24	%

(1)Amounts presented exclude $30.4 million of accrued interest receivable.


	As of September 30, 2021
	Held-to-Maturity Securities
	Amortized Cost(1)		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	1,442,247	$	1,443,316	0.74	%
Due after one year through five years	834,861		840,125		2.08	%
Due after five years through ten years	248,841		257,529		2.79	%
Due after ten years	2,179,744		2,257,175		3.17	%
Total	$	4,705,693	$	4,798,145	2.19	%

(1)Amounts presented exclude $37.5 million of accrued interest receivable.