XML 33 R21.htm IDEA: XBRL DOCUMENT v3.19.2
Farmer Mac Guaranteed Securities and USDA Securities (Tables)
 6 Months Ended
Jun. 30, 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 June 30, 2019 and December 31, 2018:
 
Table 2.1

 
As of June 30, 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

 
$
—

 
$
(492
)
 
$
19,208

Floating rate asset-backed securities
26,118

 
(123
)
 
25,995

 
—

 
(193
)
 
25,802

Floating rate Government/GSE guaranteed mortgage-backed securities
1,601,067

 
1,354

 
1,602,421

 
4,168

 
(3,219
)
 
1,603,370

Fixed rate GSE guaranteed mortgage-backed securities
335

 
—

 
335

 
23

 
—

 
358

Fixed rate U.S. Treasuries
1,277,187

 
(5,479
)
 
1,271,708

 
2,067

 
(9
)
 
1,273,766

Total available-for-sale
2,924,407

 
(4,248
)
 
2,920,159

 
6,258

 
(3,913
)
 
2,922,504

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

 
—

 
45,032

 
729

 
—

 
45,761

Total investment securities
$
2,969,439

 
$
(4,248
)
 
$
2,965,191

 
$
6,987

 
$
(3,913
)
 
$
2,968,265

(1) 
The held-to-maturity investment securities had a weighted average yield of 3.8% as of June 30, 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 June 30, 2019 and December 31, 2018:

Table 3.1
 
As of June 30, 2019
 
Unpaid Principal Balance
 
Unamortized Premium/(Discount)
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair Value
 
(in thousands)
Held-to-maturity:
 
 
 
 
 
 
 
 
 
 
 
AgVantage
$
1,545,629

 
$
(232
)
 
$
1,545,397

 
$
14,003

 
$
(1,593
)
 
$
1,557,807

Farmer Mac Guaranteed USDA Securities
33,583

 
195

 
33,778

 
624

 
—

 
34,402

Total Farmer Mac Guaranteed Securities
1,579,212

 
(37
)
 
1,579,175

 
14,627

 
(1,593
)
 
1,592,209

USDA Securities
2,080,284

 
48,094

 
2,128,378

 
6,211

 
(1,924
)
 
2,132,665

Total held-to-maturity
$
3,659,496

 
$
48,057

 
$
3,707,553

 
$
20,838

 
$
(3,517
)
 
$
3,724,874

Available-for-sale:
 
 
 
 
 
 
 
 
 
 
 
AgVantage
$
6,923,464

 
$
(149
)
 
$
6,923,315

 
$
143,685

 
$
(31,332
)
 
$
7,035,668

Trading:
 
 
 
 
 

 
 

 
 

 
 

USDA Securities(1)
$
8,818

 
$
570

 
$
9,388

 
$
15

 
$
(202
)
 
$
9,201

(1) 
The trading USDA securities had a weighted average yield of 5.23% as of June 30, 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 June 30, 2019 and December 31, 2018, unrealized losses on available-for-sale investment securities were as follows:

Table 2.2
 
As of June 30, 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
$
—

 
$
—

 
$
19,208

 
$
(492
)
Floating rate asset-backed securities
8,978

 
(65
)
 
16,824

 
(128
)
Floating rate Government/GSE guaranteed mortgage-backed securities
376,791

 
(1,270
)
 
281,180

 
(1,949
)
Fixed rate U.S. Treasuries
79,700

 
(9
)
 
—

 
—

Total
$
465,469

 
$
(1,344
)
 
$
317,212

 
$
(2,569
)
 
 
 
 
 
 
 
 
Number of securities in loss position
 
 
37

 
 
 
46


 
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 June 30, 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 June 30, 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
$
—

 
$
—

 
$
480,032

 
$
(1,593
)
USDA Securities
—

 
—

 
285,968

 
(1,924
)
Total held-to-maturity
$
—

 
$
—

 
$
766,000

 
$
(3,517
)
 
 
 
 
 
 
 
 
Available-for-sale:
 
 
 
 
 
 
 
AgVantage
$
921,296

 
$
(6,351
)
 
$
1,378,063

 
$
(24,981
)

 
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 June 30, 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 June 30, 2019
 
Available-for-Sale Securities
 
Amortized
Cost
 
Fair Value
 
Weighted-
Average
Yield
 
(dollars in thousands)
Due within one year
$
1,265,454

 
$
1,267,431

 
1.41%
Due after one year through five years
212,838

 
212,891

 
2.89%
Due after five years through ten years
761,882

 
760,584

 
2.84%
Due after ten years
679,985

 
681,598

 
3.01%
Total
$
2,920,159

 
$
2,922,504

 
2.26%

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, 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 June 30, 2019
 
Available-for-Sale Securities
 
Amortized
Cost
 
Fair Value
 
Weighted-
Average
Yield
 
(dollars in thousands)
Due within one year
$
586,896

 
$
586,944

 
2.92
%
Due after one year through five years
3,432,197

 
3,466,313

 
3.09
%
Due after five years through ten years
1,347,781

 
1,383,218

 
3.26
%
Due after ten years
1,556,441

 
1,599,193

 
3.55
%
Total
$
6,923,315

 
$
7,035,668

 
3.21
%
 
As of June 30, 2019
 
Held-to-Maturity Securities
 
Amortized
Cost
 
Fair Value
 
Weighted-
Average
Yield
 
(dollars in thousands)
Due within one year
$
539,516

 
$
538,274

 
2.24
%
Due after one year through five years
1,094,543

 
1,108,105

 
3.32
%
Due after five years through ten years
203,660

 
203,644

 
3.48
%
Due after ten years
1,869,834

 
1,874,851

 
3.63
%
Total
$
3,707,553

 
$
3,724,874

 
3.33
%