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Farmer Mac Guaranteed Securities and USDA Securities (Tables)

9 Months Ended

Sep. 30, 2022

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, 2022 and December 31, 2021:

Table 2.1


	As of September 30, 2022
	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	$	(38)	$	—	$	(419)	$	19,243


Floating rate Government/GSE guaranteed mortgage-backed securities	2,383,351		33		2,383,384		—		2,679		(25,535)		2,360,528
Fixed rate GSE guaranteed mortgage-backed securities	993,305		(12,770)		980,535		—		—		(138,831)		841,704
Fixed rate U.S. Treasuries	1,211,115		(4,038)		1,207,077		—		—		(26,673)		1,180,404
Total available-for-sale	4,607,471		(16,775)		4,590,696		(38)		2,679		(191,458)		4,401,879
Held-to-maturity:
Floating rate Government/GSE guaranteed mortgage-backed securities(3)	45,032		—		45,032		—		—		(1,758)		43,274
Total held-to-maturity	$	45,032	$	—	$	45,032	$	—	$	—	$	(1,758)	$	43,274

(1)Amounts presented exclude $6.3 million of accrued interest receivable on investment securities as of September 30, 2022.

(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 3.0% as of September 30, 2022.


	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.

(3)The held-to-maturity investment securities had a weighted average yield of 1.5% as of December 31, 2021.

The following tables set forth information about on-balance sheet Farmer Mac Guaranteed Securities and USDA Securities as of September 30, 2022 and December 31, 2021:

Table 3.1


	As of September 30, 2022
	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	$	1,306,865	$	—	$	1,306,865	$	(56)	$	—	$	(60,668)	$	1,246,141
Farmer Mac Guaranteed USDA Securities	21,256		(26)		21,230		—		1		(1,760)		19,471
Total Farmer Mac Guaranteed Securities	1,328,121		(26)		1,328,095		(56)		1		(62,428)		1,265,612
USDA Securities	2,404,124		24,514		2,428,638		—		178		(398,119)		2,030,697
Total held-to-maturity	$	3,732,245	$	24,488	$	3,756,733	$	(56)	$	179	$	(460,547)	$	3,296,309
Available-for-sale:
AgVantage	$	7,409,650	$	853	$	7,410,503	$	(608)	$	1,946	$	(446,080)	$	6,965,761
Farmer Mac Guaranteed Securities(3)	—		11,092		11,092		—		—		(2,851)		8,241
Total available-for-sale	$	7,409,650	$	11,945	$	7,421,595	$	(608)	$	1,946	$	(448,931)	$	6,974,002
Trading:
USDA Securities(4)	$	1,879	$	79	$	1,958	$	—	$	—	$	(107)	$	1,851

(1)Amounts presented exclude $44.0 million, $41.1 million, and $38,000 of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of September 30, 2022.

(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 $8.2 million of an interest-only security with a notional amount of $251.6 million.

(4)The trading USDA securities had a weighted average yield of 4.84% as of September 30, 2022.


	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.

(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.

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

As of September 30, 2022 and December 31, 2021, unrealized losses on available-for-sale investment securities were as follows:

Table 2.2


	As of September 30, 2022
	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	$	—	$	—	$	19,243	$	(419)

Floating rate Government/GSE guaranteed mortgage-backed securities	1,900,726		(24,848)		27,935		(687)
Fixed rate Government/GSE guaranteed mortgage-backed securities	704,056		(107,687)		137,635		(31,144)

Fixed rate U.S. Treasuries	595,244		(10,096)		585,160		(16,577)

Total	$	3,200,026	$	(142,631)	$	769,973	$	(48,827)

Number of securities in loss position			182				35


	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 September 30, 2022 and December 31, 2021, 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, 2022
	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	$	866,689	$	(15,176)	$	379,508	$	(45,492)
Farmer Mac Guaranteed USDA Securities	19,493		(1,760)		—		—
USDA Securities	2,019,045		(398,119)		—		—
Total held-to-maturity	$	2,905,227	$	(415,055)	$	379,508	$	(45,492)

Available-for-sale:
AgVantage	$	5,431,594	$	(372,439)	$	951,481	$	(73,641)
Farmer Mac Guaranteed Securities	8,241		(2,851)		—		—
Total available-for-sale	$	5,439,835	$	(375,290)	$	951,481	$	(73,641)


	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)

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, 2022 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, 2022
	Available-for-Sale Securities
	Amortized Cost		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	934,927	$	920,426	0.73%
Due after one year through five years	620,188		606,506		1.50%
Due after five years through ten years	2,262,727		2,107,401		2.57%
Due after ten years	772,854		767,546		2.65%
Total	$	4,590,696	$	4,401,879	2.06%

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, 2022 are set forth below. The balances presented are based on their contractual maturities, although the actual maturities may differ due to prepayments of the underlying assets.

Table 3.3


	As of September 30, 2022
	Available-for-Sale Securities
	Amortized Cost(1)		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	1,264,459	$	1,260,840	3.14	%
Due after one year through five years	3,042,213		2,890,360		3.03	%
Due after five years through ten years	1,389,102		1,279,044		3.29	%
Due after ten years	1,725,821		1,543,758		3.53	%
Total	$	7,421,595	$	6,974,002	3.21	%

(1)Amounts presented exclude $44.0 million of accrued interest receivable.


	As of September 30, 2022
	Held-to-Maturity Securities
	Amortized Cost(1)		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	613,850	$	606,761	2.17	%
Due after one year through five years	727,249		664,058		1.97	%
Due after five years through ten years	266,980		227,512		3.06	%
Due after ten years	2,148,654		1,797,978		3.25	%
Total	$	3,756,733	$	3,296,309	2.79	%

(1)Amounts presented exclude $41.1 million of accrued interest receivable.