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FARMER MAC GUARANTEED SECURITIES AND USDA SECURITIES (Tables)

6 Months Ended

Jun. 30, 2024

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 June 30, 2024 and December 31, 2023:

Table 2.1


	As of June 30, 2024
	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	$	(25)	$	—	$	(197)	$	19,478
Floating rate Government/GSE guaranteed mortgage-backed securities	2,262,092		29		2,262,121		—		3,037		(20,258)		2,244,900
Fixed rate GSE guaranteed mortgage-backed securities	2,111,417		(58,674)		2,052,743		—		2,584		(141,565)		1,913,762
Floating rate U.S. Treasuries	50,000		(4)		49,996		—		—		(6)		49,990
Fixed rate U.S. Treasuries	1,040,627		(15,155)		1,025,472		—		167		(5,054)		1,020,585
Total available-for-sale	5,483,836		(73,804)		5,410,032		(25)		5,788		(167,080)		5,248,715
Held-to-maturity:
Floating rate Government/GSE guaranteed mortgage-backed securities(3)	9,270		—		9,270		—		226		—		9,496
Total held-to-maturity	$	9,270	$	—	$	9,270	$	—	$	226	$	—	$	9,496

(1)Amounts presented exclude $19.4 million of accrued interest receivable on investment securities as of June 30, 2024.

(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 6.4% as of June 30, 2024.


	As of December 31, 2023
	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	$	(27)	$	—	$	(591)	$	19,082
Floating rate Government/GSE guaranteed mortgage-backed securities	2,454,009		(1,138)		2,452,871		—		1,212		(29,649)		2,424,434
Fixed rate GSE guaranteed mortgage-backed securities	1,727,669		(46,788)		1,680,881		—		6,558		(117,824)		1,569,615
Floating rate U.S. Treasuries	50,000		(17)		49,983		—		—		(15)		49,968
Fixed rate U.S. Treasuries	869,585		(12,885)		856,700		—		2,074		(2,942)		855,832
Total available-for-sale	5,120,963		(60,828)		5,060,135		(27)		9,844		(151,021)		4,918,931
Held-to-maturity:
Floating rate Government/GSE guaranteed mortgage-backed securities(3)	53,756		—		53,756		—		1,745		—		55,501
Total held-to-maturity	$	53,756	$	—	$	53,756	$	—	$	1,745	$	—	$	55,501

(1)Amounts presented exclude $15.9 million of accrued interest receivable on investment securities as of December 31, 2023.

(3)The held-to-maturity investment securities had a weighted average yield of 6.7% as of December 31, 2023.

The following tables set forth information about on-balance sheet Farmer Mac Guaranteed Securities and USDA Securities as of June 30, 2024 and December 31, 2023:

Table 3.1


	As of June 30, 2024
	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	$	3,908,405	$	(28,187)	$	3,880,218	$	(133)	$	8,851	$	(31,300)	$	3,857,636
Farmer Mac Guaranteed USDA Securities	48,953		30		48,983		—		110		(940)		48,153
Total Farmer Mac Guaranteed Securities	3,957,358		(28,157)		3,929,201		(133)		8,961		(32,240)		3,905,789
USDA Securities	2,309,465		21,070		2,330,535		—		255		(335,230)		1,995,560
Total held-to-maturity	$	6,266,823	$	(7,087)	$	6,259,736	$	(133)	$	9,216	$	(367,470)	$	5,901,349
Available-for-sale:
AgVantage	$	5,746,236	$	—	$	5,746,236	$	(261)	$	5,441	$	(361,575)	$	5,389,841
Farmer Mac Guaranteed Securities(3)	—		9,062		9,062		—		248		—		9,310
Total available-for-sale	$	5,746,236	$	9,062	$	5,755,298	$	(261)	$	5,689	$	(361,575)	$	5,399,151
Trading:
USDA Securities(4)	$	1,032	$	52	$	1,084	$	—	$	—	$	(58)	$	1,026

(1)Amounts presented exclude $53.6 million, $55.0 million, and $28,690 of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of June 30, 2024.

(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 $9.3 million of an interest-only security with a notional amount of $232.4 million.

(4)The trading USDA securities had a weighted average yield of 5.57% as of June 30, 2024.


	As of December 31, 2023
	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	$	4,206,324	$	(29,622)	$	4,176,702	$	(209)	$	4,676	$	(39,451)	$	4,141,718
Farmer Mac Guaranteed USDA Securities	36,543		33		36,576		—		107		(806)		35,877
Total Farmer Mac Guaranteed Securities	4,242,867		(29,589)		4,213,278		(209)		4,783		(40,257)		4,177,595
USDA Securities	2,331,093		23,078		2,354,171		—		417		(319,783)		2,034,805
Total held-to-maturity	$	6,573,960	$	(6,511)	$	6,567,449	$	(209)	$	5,200	$	(360,040)	$	6,212,400
Available-for-sale:
AgVantage	$	5,816,024	$	—	$	5,816,024	$	(317)	$	16,416	$	(309,411)	$	5,522,712
Farmer Mac Guaranteed Securities(3)	—		9,409		9,409		—		358		—		9,767
Total available-for-sale	$	5,816,024	$	9,409	$	5,825,433	$	(317)	$	16,774	$	(309,411)	$	5,532,479
Trading:
USDA Securities(4)	$	1,236	$	64	$	1,300	$	—	$	—	$	(59)	$	1,241

(1)Amounts presented exclude $47.2 million, $67.4 million, and $42,000 of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of December 31, 2023.

(3)Fair value includes $9.8 million of an interest-only security with a notional amount of $238.4 million.

(4)The trading USDA securities had a weighted average yield of 5.46% as of December 31, 2023.

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

As of June 30, 2024 and December 31, 2023, unrealized losses on available-for-sale investment securities were as follows:

Table 2.2


	As of June 30, 2024
	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	$	—	$	—	$	19,478	$	(197)
Floating rate Government/GSE guaranteed mortgage-backed securities	334,002		(856)		1,205,757		(19,402)
Fixed rate Government/GSE guaranteed mortgage-backed securities	379,695		(2,425)		1,251,770		(139,140)
Floating rate U.S. Treasuries	49,990		(6)		—		—
Fixed rate U.S. Treasuries	699,584		(3,633)		103,468		(1,421)
Total	$	1,463,271	$	(6,920)	$	2,580,473	$	(160,160)

Number of securities in loss position			97				167


	As of December 31, 2023
	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	$	—	$	—	$	19,082	$	(591)
Floating rate Government/GSE guaranteed mortgage-backed securities	568,759		(4,395)		1,449,122		(25,254)
Fixed rate Government/GSE guaranteed mortgage-backed securities	384,305		(4,262)		905,759		(113,562)
Floating rate U.S. Treasuries	49,969		(15)		—		—
Fixed rate U.S. Treasuries	140,435		(606)		237,192		(2,336)
Total	$	1,143,468	$	(9,278)	$	2,611,155	$	(141,743)

Number of securities in loss position			91				162

As of June 30, 2024 and December 31, 2023, 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 June 30, 2024
	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	$	2,051,042	$	(3,053)	$	596,804	$	(28,247)
Farmer Mac Guaranteed USDA Securities	—		—		8,031		(940)
USDA Securities	5,896		(171)		1,983,396		(335,059)
Total held-to-maturity	$	2,056,938	$	(3,224)	$	2,588,231	$	(364,246)

Available-for-sale:
AgVantage	$	861,323	$	(8,677)	$	4,153,339	$	(352,898)

Total available-for-sale	$	861,323	$	(8,677)	$	4,153,339	$	(352,898)


	As of December 31, 2023
	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	$	2,070,770	$	(6,705)	$	725,347	$	(32,746)
Farmer Mac Guaranteed USDA Securities	—		—		8,393		(806)
USDA Securities	—		—		2,023,801		(319,783)
Total held-to-maturity	$	2,070,770	$	(6,705)	$	2,757,541	$	(353,335)

Available-for-sale:
AgVantage	$	508,182	$	(5,716)	$	4,043,431	$	(303,695)

Total available-for-sale	$	508,182	$	(5,716)	$	4,043,431	$	(303,695)

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 June 30, 2024 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 June 30, 2024
	Available-for-Sale Securities
	Amortized Cost		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	474,409	$	473,263	2.75%
Due after one year through five years	1,817,099		1,789,557		4.35%
Due after five years through ten years	2,373,772		2,256,442		4.23%
Due after ten years	744,752		729,453		5.61%
Total	$	5,410,032	$	5,248,715	4.33%

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 June 30, 2024 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 June 30, 2024
	Available-for-Sale Securities
	Amortized Cost(1)		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	586,160	$	578,550	3.05	%
Due after one year through five years	3,075,493		2,956,677		3.82	%
Due after five years through ten years	1,150,000		1,053,259		3.63	%
Due after ten years	943,645		810,665		3.55	%
Total	$	5,755,298	$	5,399,151	3.65	%

(1)Amounts presented exclude $53.6 million of accrued interest receivable.


	As of June 30, 2024
	Held-to-Maturity Securities
	Amortized Cost(1)		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	1,912,322	$	1,910,469	5.81	%
Due after one year through five years	1,412,798		1,377,921		4.38	%
Due after five years through ten years	288,510		249,002		3.67	%
Due after ten years	2,646,106		2,363,957		4.40	%
Total	$	6,259,736	$	5,901,349	4.83	%

(1)Amounts presented exclude $55.0 million of accrued interest receivable.