Farmer Mac Guaranteed Securities and USDA Securities (Tables)

6 Months Ended

Jun. 30, 2020

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, 2020 and December 31, 2019:

Table 2.1

	As of June 30, 2020
	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)	$	—	$	(1,379)	$	18,283
Floating rate asset-backed securities	9,818		—		9,818		—		—		(11)		9,807
Floating rate Government/GSE guaranteed mortgage-backed securities	2,108,505		29		2,108,534		—		7,409		(3,566)		2,112,377
Fixed rate GSE guaranteed mortgage-backed securities	292		—		292		—		30		—		322
Fixed rate U.S. Treasuries	1,314,850		5,763		1,320,613		—		6,043		(67)		1,326,589
Total available-for-sale	3,453,165		5,792		3,458,957		(38)		13,482		(5,023)		3,467,378
Held-to-maturity:
Floating rate Government/GSE guaranteed mortgage-backed securities(3)	45,032		—		45,032		—		650		—		45,682
Total investment securities	$	3,498,197	$	5,792	$	3,503,989	$	(38)	$	14,132	$	(5,023)	$	3,513,060

⁽¹⁾Amounts presented exclude $6.6 million of accrued interest receivable on investment securities as of June 30, 2020.

⁽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 1.5% as of June 30, 2020.

	As of December 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	11,092		—		11,092		—		(7)		11,085
Floating rate Government/GSE guaranteed mortgage-backed securities	1,633,731		1,174		1,634,905		2,414		(4,736)		1,632,583
Fixed rate GSE guaranteed mortgage-backed securities	315		—		315		25		—		340
Fixed rate U.S. Treasuries	1,295,210		208		1,295,418		1,520		(15)		1,296,923
Total available-for-sale	2,960,048		1,382		2,961,430		3,959		(5,546)		2,959,843
Held-to-maturity:
Floating rate Government/GSE guaranteed mortgage-backed securities(1)	45,032		—		45,032		953		—		45,985
Total investment securities	$	3,005,080	$	1,382	$	3,006,462	$	4,912	$	(5,546)	$	3,005,828

⁽¹⁾The held-to-maturity investment securities had a weighted average yield of 3.3% as of December 31, 2019.

The following tables set forth information about on-balance sheet Farmer Mac Guaranteed Securities and USDA Securities as of June 30, 2020 and December 31, 2019:

Table 3.1

	As of June 30, 2020
	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	$	1,108,720	$	(70)	$	1,108,650	$	(546)	$	30,070	$	—	$	1,138,174
Farmer Mac Guaranteed USDA Securities	32,537		77		32,614		—		1,249		—		33,863
Total Farmer Mac Guaranteed Securities	1,141,257		7		1,141,264		(546)		31,319		—		1,172,037
USDA Securities	2,307,684		32,239		2,339,923		—		85,626		(661)		2,424,888
Total held-to-maturity	$	3,448,941	$	32,246	$	3,481,187	$	(546)	$	116,945	$	(661)	$	3,596,925
Available-for-sale:
AgVantage	$	7,540,043	$	(99)	$	7,539,944	$	(235)	$	405,926	$	(47,248)	$	7,898,387
Trading:
USDA Securities(3)	$	7,276	$	391	$	7,667	$	—	$	122	$	(3)	$	7,786

⁽¹⁾Amounts presented exclude $34.9 million, $35.3 million, and $0.2 million of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of June 30, 2020.

⁽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⁾The trading USDA securities had a weighted average yield of 5.15% as of June 30, 2020.

	As of December 31, 2019
	Unpaid Principal Balance		Unamortized Premium/(Discount)		Amortized Cost		Unrealized Gains		Unrealized Losses		Fair Value
	(in thousands)
Held-to-maturity:
AgVantage	$	1,415,584	$	(174)	$	1,415,410	$	15,300	$	(164)	$	1,430,546
Farmer Mac Guaranteed USDA Securities	31,887		154		32,041		839		—		32,880
Total Farmer Mac Guaranteed Securities	1,447,471		(20)		1,447,451		16,139		(164)		1,463,426
USDA Securities	2,190,671		41,489		2,232,160		54,356		(758)		2,285,758
Total held-to-maturity	$	3,638,142	$	41,469	$	3,679,611	$	70,495	$	(922)	$	3,749,184
Available-for-sale:
AgVantage	$	7,017,095	$	(124)	$	7,016,971	$	161,316	$	(35,262)	$	7,143,025
Trading:
USDA Securities(1)	$	8,400	$	479	$	8,879	$	61	$	(27)	$	8,913

⁽¹⁾The trading USDA securities had a weighted average yield of 5.20% as of December 31, 2019.

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

As of June 30, 2020 and December 31, 2019, unrealized losses on available-for-sale investment securities were as follows:

Table 2.2

	As of June 30, 2020
	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	$	—	$	—	$	18,283	$	(1,379)
Floating rate asset-backed securities	—		—		9,807		(11)
Floating rate Government/GSE guaranteed mortgage-backed securities	565,860		(2,163)		217,525		(1,403)
Fixed rate U.S. Treasuries	226,448		(67)		—		—
Total	$	792,308	$	(2,230)	$	245,615	$	(2,793)
Number of securities in loss position			58				55

	As of December 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	2,583		(1)		8,502		(6)
Floating rate Government/GSE guaranteed mortgage-backed securities	841,993		(2,244)		436,621		(2,492)
Fixed rate U.S. Treasuries	35,107		(15)		—		—
Total	$	879,683	$	(2,260)	$	464,035	$	(3,286)
Number of securities in loss position			57				62

As of June 30, 2020 and December 31, 2019, 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, 2020
	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:
USDA Securities	$	—	$	—	$	22,235	$	(661)
Total held-to-maturity	$	—	$	—	$	22,235	$	(661)
Available-for-sale:
AgVantage	$	521,979	$	(932)	$	841,123	$	(46,316)

	As of December 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	$	—	$	—	$	301,836	$	(164)
USDA Securities	—		—		27,089		(758)
Total held-to-maturity	$	—	$	—	$	328,925	$	(922)
Available-for-sale:
AgVantage	$	225,239	$	(2,203)	$	1,394,802	$	(33,059)

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, 2020 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, 2020
	Available-for-Sale Securities
	Amortized Cost		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	1,235,047	$	1,241,040	1.58%
Due after one year through five years	364,971		364,927		0.99%
Due after five years through ten years	922,322		926,675		0.72%
Due after ten years	936,617		934,736		0.69%
Total	$	3,458,957	$	3,467,378	1.05%

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, 2020 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, 2020
	Available-for-Sale Securities
	Amortized Cost(1)		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	1,435,445	$	1,438,585	1.34	%
Due after one year through five years	3,434,770		3,557,439		2.34	%
Due after five years through ten years	1,147,366		1,232,206		2.34	%
Due after ten years	1,522,363		1,670,157		2.67	%
Total	$	7,539,944	$	7,898,387	2.22	%

⁽¹⁾Amounts presented exclude $34.9 million of accrued interest receivable.

	As of June 30, 2020
	Held-to-Maturity Securities
	Amortized Cost(1)		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	445,889	$	451,452	2.94	%
Due after one year through five years	751,402		777,980		3.21	%
Due after five years through ten years	213,460		220,404		3.17	%
Due after ten years	2,070,436		2,147,089		3.39	%
Total	$	3,481,187	$	3,596,925	3.28	%

⁽¹⁾Amounts presented exclude $35.3 million of accrued interest receivable.