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Farmer Mac Guaranteed Securities and USDA Securities (Tables)
3 Months Ended
Mar. 31, 2019
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 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.

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.

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