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Farmer Mac Guaranteed Securities and USDA Securities
 3 Months Ended
Mar. 31, 2019
Investments, Debt and Equity Securities [Abstract]  
FARMER MAC GUARANTEED SECURITES AND USDA SECURITIES
INVESTMENT SECURITIES

The following tables set forth information about Farmer Mac's investment securities as of March 31, 2019 and December 31, 2018:
 
Table 2.1

 
As of March 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
27,726

 
(130
)
 
27,596

 
—

 
(145
)
 
27,451

Floating rate Government/GSE guaranteed mortgage-backed securities
1,379,534

 
1,393

 
1,380,927

 
626

 
(5,316
)
 
1,376,237

Fixed rate GSE guaranteed mortgage-backed securities
370

 
—

 
370

 
23

 
—

 
393

Fixed rate U.S. Treasuries
1,039,925

 
(5,543
)
 
1,034,382

 
705

 
(102
)
 
1,034,985

Total available-for-sale
2,467,255

 
(4,280
)
 
2,462,975

 
1,354

 
(6,351
)
 
2,457,978

Held-to-maturity:
 
 
 
 
 
 
 
 
 
 
 
Fixed rate Government/GSE guaranteed mortgage-backed securities(1)
45,032

 
—

 
45,032

 
926

 
—

 
45,958

Total investment securities
$
2,512,287

 
$
(4,280
)
 
$
2,508,007

 
$
2,280

 
$
(6,351
)
 
$
2,503,936

(1) 
The held-to-maturity investment securities had a weighted average yield of 3.8% as of March 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:
 
 
 
 
 
 
 
 
 
 
 
Fixed 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.

Farmer Mac did not sell any securities from its available-for-sale investment portfolio during the three months ended March 31, 2019 and 2018.

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

Table 2.2

 
As of March 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
6,179

 
(56
)
 
18,173

 
(89
)
Floating rate Government/GSE guaranteed mortgage-backed securities
715,948

 
(3,368
)
 
381,997

 
(1,948
)
Fixed rate U.S. Treasuries
262,700

 
(41
)
 
117,382

 
(61
)
Total
$
984,827

 
$
(3,465
)
 
$
536,464

 
$
(2,886
)
 
 
 
 
 
 
 
 
Number of securities in loss position
 
 
48
 
 
 
63

 
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


The unrealized losses presented above are principally due to a general widening of market spreads and an increase in the levels of interest rates from the dates of acquisition to March 31, 2019 and December 31, 2018, as applicable. The resulting decrease in fair values reflects an increase in the perceived risk by the financial markets related to those securities. As of March 31, 2019 and December 31, 2018, all of the investment securities in an unrealized loss position either were backed by the full faith and credit of the U.S. government or had credit ratings of at least "AA+."

Securities in unrealized loss positions for 12 months or longer have a fair value as of March 31, 2019 that is, on average, approximately 99.5% of their amortized cost basis. Farmer Mac believes that all of these unrealized losses are recoverable within a reasonable period of time by way of maturity or changes in credit spreads. Accordingly, Farmer Mac has concluded that none of the unrealized losses on these available-for-sale investment securities are other-than-temporary impairment as of March 31, 2019 and December 31, 2018. Farmer Mac does not intend to sell these securities, and it is not "more likely than not" that Farmer Mac will be required to sell the securities before recovery of the amortized cost basis.

The amortized cost, fair value, and weighted-average yield of available-for-sale investment securities by remaining contractual maturity as of March 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 2.3

 
As of March 31, 2019
 
Available-for-Sale Securities
 
Amortized
Cost
 
Fair Value
 
Weighted-
Average
Yield
 
(dollars in thousands)
Due within one year
$
982,026

 
$
982,554

 
1.40%
Due after one year through five years
272,477

 
272,528

 
2.78%
Due after five years through ten years
650,974

 
647,882

 
2.87%
Due after ten years
557,498

 
555,014

 
3.08%
Total
$
2,462,975

 
$
2,457,978

 
2.32%
FARMER MAC GUARANTEED SECURITIES AND USDA SECURITIES

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

Table 3.1

 
As of March 31, 2019
 
Unpaid Principal Balance
 
Unamortized Premium/(Discount)
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair Value
 
(in thousands)
Held-to-maturity:
 
 
 
 
 
 
 
 
 
 
 
AgVantage
$
2,013,619

 
$
(235
)
 
$
2,013,384

 
$
7,035

 
$
(5,932
)
 
$
2,014,487

Farmer Mac Guaranteed USDA Securities
26,794

 
237

 
27,031

 
237

 
—

 
27,268

Total Farmer Mac Guaranteed Securities
2,040,413

 
2

 
2,040,415

 
7,272

 
(5,932
)
 
2,041,755

USDA Securities
2,072,411

 
52,901

 
2,125,312

 
1

 
(21,409
)
 
2,103,904

Total held-to-maturity
$
4,112,824

 
$
52,903

 
$
4,165,727

 
$
7,273

 
$
(27,341
)
 
$
4,145,659

Available-for-sale:
 
 
 
 
 
 
 
 
 
 
 
AgVantage
$
6,408,318

 
$
(190
)
 
$
6,408,128

 
$
67,066

 
$
(33,570
)
 
$
6,441,624

Trading:
 
 
 
 
 

 
 

 
 

 
 

USDA Securities(1)
$
9,087

 
$
649

 
$
9,736

 
$
22

 
$
(271
)
 
$
9,487

(1) 
The trading USDA securities had a weighted average yield of 5.23% as of March 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.

As of March 31, 2019 and December 31, 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 3.2

 
As of March 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
$
212,783

 
$
(67
)
 
$
1,030,571

 
$
(5,865
)
USDA Securities
33,763

 
(819
)
 
2,069,702

 
(20,590
)
Total held-to-maturity
$
246,546

 
$
(886
)
 
$
3,100,273

 
$
(26,455
)
 
 
 
 
 
 
 
 
Available-for-sale:
 
 
 
 
 
 
 
AgVantage
$
552,404

 
$
(3,779
)
 
$
1,633,673

 
$
(29,791
)

 
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
)


The unrealized losses presented above are principally due to higher interest rates from the date of acquisition to March 31, 2019 and December 31, 2018, as applicable. The unrealized losses on the held-to-maturity USDA Securities as of both March 31, 2019 and December 31, 2018 reflect their increased cost basis resulting from their transfer to held-to-maturity as of October 1, 2016.

The credit exposure related to Farmer Mac's USDA Guarantees line of business is covered by the full faith and credit guarantee of the United States.

The unrealized losses from AgVantage securities were on 28 and 38 available-for-sale securities as of March 31, 2019 and December 31, 2018, respectively. There were 32 and 43 held-to-maturity AgVantage securities with an unrealized loss as of March 31, 2019 and December 31, 2018, respectively. As of March 31, 2019, 24 available-for-sale AgVantage securities had been in a loss position for more than 12 months. As of December 31, 2018, 21 available-for-sale AgVantage securities had been in a loss position for more than 12 months. Farmer Mac has concluded that none of the unrealized losses on its held-to-maturity Farmer Mac Guaranteed Securities and USDA Securities and available-for-sale Farmer Mac Guaranteed Securities are other-than-temporarily impaired as of either March 31, 2019 or December 31, 2018.  Farmer Mac does not intend to sell these securities, and it is not "more likely than not" that Farmer Mac will be required to sell the securities before recovery of the amortized cost basis.

During the three months ended March 31, 2019 and 2018, Farmer Mac realized no gains or losses from the sale of Farmer Mac Guaranteed Securities and USDA Securities.

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 March 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 3.3

 
As of March 31, 2019
 
Available-for-Sale Securities
 
Amortized
Cost
 
Fair Value
 
Weighted-
Average
Yield
 
(dollars in thousands)
Due within one year
$
584,884

 
$
585,085

 
3.09
%
Due after one year through five years
2,976,650

 
2,988,640

 
3.16
%
Due after five years through ten years
1,281,673

 
1,291,943

 
3.21
%
Due after ten years
1,564,921

 
1,575,956

 
3.62
%
Total
$
6,408,128

 
$
6,441,624

 
3.28
%
 
As of March 31, 2019
 
Held-to-Maturity Securities
 
Amortized
Cost
 
Fair Value
 
Weighted-
Average
Yield
 
(dollars in thousands)
Due within one year
$
682,586

 
$
681,561

 
2.15
%
Due after one year through five years
1,420,155

 
1,421,423

 
3.07
%
Due after five years through ten years
204,350

 
202,025

 
3.45
%
Due after ten years
1,858,636

 
1,840,650

 
3.62
%
Total
$
4,165,727

 
$
4,145,659

 
3.18
%