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Farmer Mac Guaranteed Securities and USDA Securities (Tables)
9 Months Ended
Sep. 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 September 30, 2020 and December 31, 2019:
 
Table 2.1
 As of September 30, 2020
Amount OutstandingUnamortized 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 $(37)$— $(591)$19,072 
Floating rate asset-backed securities9,205 — 9,205 — — (4)9,201 
Floating rate Government/GSE guaranteed mortgage-backed securities2,279,737 33 2,279,770 — 9,415 (3,152)2,286,033 
Fixed rate GSE guaranteed mortgage-backed securities285 — 285 — 33 — 318 
Fixed rate U.S. Treasuries1,204,308 9,406 1,213,714 — 3,861 (9)1,217,566 
Total available-for-sale3,513,235 9,439 3,522,674 (37)13,309 (3,756)3,532,190 
Held-to-maturity:
Floating rate Government/GSE guaranteed mortgage-backed securities(3)
45,032 — 45,032 — 1,153 — 46,185 
Total investment securities$3,558,267 $9,439 $3,567,706 $(37)$14,462 $(3,756)$3,578,375 
(1)Amounts presented exclude $5.7 million of accrued interest receivable on investment securities as of September 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 September 30, 2020.
 As of December 31, 2019
Amount OutstandingUnamortized 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 securities11,092 — 11,092 — (7)11,085 
Floating rate Government/GSE guaranteed mortgage-backed securities1,633,731 1,174 1,634,905 2,414 (4,736)1,632,583 
Fixed rate GSE guaranteed mortgage-backed securities315 — 315 25 — 340 
Fixed rate U.S. Treasuries1,295,210 208 1,295,418 1,520 (15)1,296,923 
Total available-for-sale2,960,048 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 September 30, 2020 and December 31, 2019:

Table 3.1
 As of September 30, 2020
Unpaid Principal BalanceUnamortized Premium/(Discount)
Amortized
Cost(1)
Allowance for losses(2)
Unrealized
Gains
Unrealized
Losses
Fair Value
 (in thousands)
Held-to-maturity:
AgVantage$1,164,353 $(73)$1,164,280 $(216)$25,969 $(99)$1,189,934 
Farmer Mac Guaranteed USDA Securities36,414 92 36,506 — 1,026 (1)37,531 
Total Farmer Mac Guaranteed Securities1,200,767 19 1,200,786 (216)26,995 (100)1,227,465 
USDA Securities2,381,416 29,432 2,410,848 — 105,721 (1,398)2,515,171 
Total held-to-maturity$3,582,183 $29,451 $3,611,634 $(216)$132,716 $(1,498)$3,742,636 
Available-for-sale:    
AgVantage$7,149,082 $1,524 $7,150,606 $(330)$394,280 $(32,918)$7,511,638 
Trading:    
USDA Securities(3)
$6,617 $352 $6,969 $— $10 $(149)$6,830 
(1)Amounts presented exclude $32.7 million, $41.1 million, and $0.1 million of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of September 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 5.09% as of September 30, 2020.

 As of December 31, 2019
Unpaid Principal BalanceUnamortized 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 Securities31,887 154 32,041 839 — 32,880 
Total Farmer Mac Guaranteed Securities1,447,471 (20)1,447,451 16,139 (164)1,463,426 
USDA Securities2,190,671 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 September 30, 2020 and December 31, 2019, unrealized losses on available-for-sale investment securities were as follows:

Table 2.2
 As of September 30, 2020
 Available-for-Sale Securities
Unrealized loss position for
less than 12 months
Unrealized loss position for
more than 12 months
Fair ValueUnrealized
Loss
Fair ValueUnrealized
Loss
 (dollars in thousands)
Floating rate auction-rate certificates backed by Government guaranteed student loans$— $— $19,072 $(591)
Floating rate asset-backed securities— — 6,873 (4)
Floating rate Government/GSE guaranteed mortgage-backed securities154,452 (464)403,469 (2,688)
Fixed rate U.S. Treasuries50,861 (9)— — 
Total$205,313 $(473)$429,414 $(3,283)
Number of securities in loss position27 63 
 As of December 31, 2019
 Available-for-Sale Securities
Unrealized loss position for
less than 12 months
Unrealized loss position for
more than 12 months
Fair ValueUnrealized
Loss
Fair ValueUnrealized
Loss
 (dollars in thousands)
Floating rate auction-rate certificates backed by Government guaranteed student loans$— $— $18,912 $(788)
Floating rate asset-backed securities2,583 (1)8,502 (6)
Floating rate Government/GSE guaranteed mortgage-backed securities841,993 (2,244)436,621 (2,492)
Fixed rate U.S. Treasuries35,107 (15)— — 
Total$879,683 $(2,260)$464,035 $(3,286)
Number of securities in loss position57 62 
As of September 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 September 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 ValueUnrealized
Loss
Fair ValueUnrealized
Loss
 (in thousands)
Held-to-maturity:
AgVantage$49,901 $(99)$— $— 
Farmer Mac Guaranteed USDA Securities45 (1)— — 
USDA Securities$— $— $21,521 $(1,398)
Total held-to-maturity$49,946 $(100)$21,521 $(1,398)
Available-for-sale:
AgVantage$333,544 $(445)$972,161 $(32,473)


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 ValueUnrealized
Loss
Fair ValueUnrealized
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 September 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 September 30, 2020
Available-for-Sale Securities
Amortized
Cost
Fair ValueWeighted-
Average
Yield
 (dollars in thousands)
Due within one year$1,142,369 $1,146,222 2.01%
Due after one year through five years361,971 362,065 0.76%
Due after five years through ten years1,129,147 1,134,255 0.67%
Due after ten years889,187 889,648 0.69%
Total$3,522,674 $3,532,190 1.12%
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 September 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 September 30, 2020
Available-for-Sale Securities
Amortized
Cost(1)
Fair ValueWeighted-
Average
Yield
 (dollars in thousands)
Due within one year$1,461,551 $1,468,084 1.48 %
Due after one year through five years3,102,003 3,214,595 2.24 %
Due after five years through ten years1,073,248 1,157,450 2.42 %
Due after ten years1,513,804 1,671,509 2.57 %
Total$7,150,606 $7,511,638 2.18 %
(1)Amounts presented exclude $32.7 million of accrued interest receivable.


As of September 30, 2020
Held-to-Maturity Securities
Amortized
Cost(1)
Fair ValueWeighted-
Average
Yield
 (dollars in thousands)
Due within one year$482,593 $486,460 2.75 %
Due after one year through five years765,529 790,138 3.15 %
Due after five years through ten years226,396 234,799 2.96 %
Due after ten years2,137,116 2,231,239 3.25 %
Total$3,611,634 $3,742,636 3.11 %
(1)Amounts presented exclude $41.1 million of accrued interest receivable.