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Investment Securities (Tables)

12 Months Ended

Dec. 31, 2021

Investments, Debt and Equity Securities [Abstract]

Schedule of Farmer Mac Investment Securities

The following tables set forth information about Farmer Mac's available-for-sale and held-to-maturity investment securities as of December 31, 2021 and December 31, 2020:

Table 4.1


	As of December 31, 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)	$	—	$	(394)	$	19,254


Floating rate Government/GSE guaranteed mortgage-backed securities	2,168,016		90		2,168,106		—		11,821		(1,096)		2,178,831
Fixed rate GSE guaranteed mortgage-backed securities	451,660		12,525		464,185		—		382		(5,730)		458,837
Fixed rate U.S. Treasuries	1,180,000		2,723		1,182,723		—		—		(3,254)		1,179,469
Total available-for-sale	3,819,376		15,338		3,834,714		(52)		12,203		(10,474)		3,836,391
Held-to-maturity:
Floating rate Government/GSE guaranteed mortgage-backed securities(3)	44,970		—		44,970		—		1,612		—		46,582
Total held-to-maturity	$	44,970	$	—	$	44,970	$	—	$	1,612	$	—	$	46,582

(1)Amounts presented exclude $4.3 million of accrued interest receivable on investment securities as of December 31, 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 December 31, 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 December 31, 2021 and December 31, 2020:

Table 5.1


	As of December 31, 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	$	2,003,486	$	—	$	2,003,486	$	(132)	$	10,097	$	(12,764)	$	2,000,687
Farmer Mac Guaranteed USDA Securities	29,859		26		29,885		—		1,162		—		31,047
Total Farmer Mac Guaranteed Securities	2,033,345		26		2,033,371		(132)		11,259		(12,764)		2,031,734
USDA Securities	2,411,649		24,682		2,436,331		—		95,741		—		2,532,072
Total held-to-maturity	$	4,444,994	$	24,708	$	4,469,702	$	(132)	$	107,000	$	(12,764)	$	4,563,806
Available-for-sale:
AgVantage	$	6,122,240	$	1,270	$	6,123,510	$	(263)	$	212,908	$	(20,010)	$	6,316,145
Farmer Mac Guaranteed Securities(3)	—		12,297		12,297		—		117		—		12,414
Total available-for-sale	$	6,122,240	$	13,567	$	6,135,807	$	(263)	$	213,025	$	(20,010)	$	6,328,559
Trading:
USDA Securities(4)	$	4,299	$	134	$	4,433	$	—	$	1	$	(33)	$	4,401

(1)Amounts presented exclude $29.8 million, $42.1 million, and $0.1 million of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of December 31, 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)Fair value includes $12.4 million of an interest-only security with a notional amount of $275.4 million.

(4)The trading USDA securities had a weighted average yield of 5.05% as of December 31, 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 December 31, 2021 and December 31, 2020, unrealized losses on available-for-sale investment securities were as follows:

Table 4.2


	As of December 31, 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	$	—	$	—	$	19,254	$	(394)

Floating rate Government/GSE guaranteed mortgage-backed securities	459,195		(619)		37,307		(477)
Fixed rate Government/GSE guaranteed mortgage-backed securities	406,805		(5,730)		—		—

Fixed rate U.S. Treasuries	1,123,439		(3,070)		51,031		(184)

Total	$	1,989,439	$	(9,419)	$	107,592	$	(1,055)

Number of securities in loss position			69				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 December 31, 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 5.2


	As of December 31, 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	$	1,387,236	$	(12,764)	$	—	$	—

USDA Securities	—		—		—		—
Total held-to-maturity	$	1,387,236	$	(12,764)	$	—	$	—

Available-for-sale:
AgVantage	$	1,867,364	$	(17,263)	$	90,971	$	(2,747)


	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 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, 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 4.3


	As of December 31, 2021
	Available-for-Sale Securities
	Amortized Cost		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	646,946	$	646,518	1.23%
Due after one year through five years	812,878		810,767		0.42%
Due after five years through ten years	1,712,906		1,710,515		0.88%
Due after ten years	661,984		668,591		0.64%
Total	$	3,834,714	$	3,836,391	0.80%

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, 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 5.3


	As of December 31, 2021
	Available-for-Sale Securities
	Amortized Cost(1)		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	1,401,396	$	1,408,170	1.80	%
Due after one year through five years	2,142,369		2,194,055		2.52	%
Due after five years through ten years	1,008,986		1,034,586		2.21	%
Due after ten years	1,583,056		1,691,748		2.46	%
Total	$	6,135,807	$	6,328,559	2.28	%

(1)Amounts presented exclude $29.8 million of accrued interest receivable.


	As of December 31, 2021
	Held-to-Maturity Securities
	Amortized Cost(1)		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	1,146,637	$	1,146,747	0.65	%
Due after one year through five years	904,570		902,695		2.09	%
Due after five years through ten years	253,388		262,906		2.76	%
Due after ten years	2,165,107		2,251,458		3.15	%
Total	$	4,469,702	$	4,563,806	2.26	%

(1)Amounts presented exclude $42.1 million of accrued interest receivable.