Table 2.1


	As of September 30, 2023
	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	$	(27)	$	—	$	(640)	$	19,033


Floating rate Government/GSE guaranteed mortgage-backed securities	2,499,578		(1,170)		2,498,408		—		2,054		(34,917)		2,465,545
Fixed rate GSE guaranteed mortgage-backed securities	1,629,166		(45,118)		1,584,048		—		—		(197,670)		1,386,378
Floating rate U.S. Treasuries	50,000		(23)		49,977		—		34		—		50,011
Fixed rate U.S. Treasuries	978,585		(16,242)		962,343		—		—		(9,896)		952,447
Total available-for-sale	5,177,029		(62,553)		5,114,476		(27)		2,088		(243,123)		4,873,414
Held-to-maturity:
Floating rate Government/GSE guaranteed mortgage-backed securities(3)	45,032		—		45,032		—		930		—		45,962
Total held-to-maturity	$	45,032	$	—	$	45,032	$	—	$	930	$	—	$	45,962

(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.


	As of December 31, 2022
	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	$	(33)	$	—	$	(640)	$	19,027

Floating rate Government/GSE guaranteed mortgage-backed securities	2,433,696		(200)		2,433,496		—		1,954		(42,910)		2,392,540
Fixed rate GSE guaranteed mortgage-backed securities	1,207,416		(30,321)		1,177,095		—		2,128		(130,837)		1,048,386
Fixed rate U.S. Treasuries	1,145,915		(6,780)		1,139,135		—		621		(20,145)		1,119,611
Total available-for-sale	4,806,727		(37,301)		4,769,426		(33)		4,703		(194,532)		4,579,564
Held-to-maturity:
Floating rate Government/GSE guaranteed mortgage-backed securities(3)	45,032		—		45,032		—		2,433		—		47,465
Total held-to-maturity	$	45,032	$	—	$	45,032	$	—	$	2,433	$	—	$	47,465

Table 2.2


	As of September 30, 2023
	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	$	—	$	—	$	19,033	$	(640)

Floating rate Government/GSE guaranteed mortgage-backed securities	583,799		(4,076)		1,431,925		(30,841)
Fixed rate Government/GSE guaranteed mortgage-backed securities	535,288		(29,649)		851,082		(168,021)

Fixed rate U.S. Treasuries	655,068		(4,552)		297,378		(5,344)

Total	$	1,774,155	$	(38,277)	$	2,599,418	$	(204,846)

Number of securities in loss position			85				170


	As of December 31, 2022
	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	$	—	$	—	$	19,027	$	(640)
Floating rate Government/GSE guaranteed mortgage-backed securities	1,884,146		(36,976)		193,964		(5,934)
Fixed rate Government/GSE guaranteed mortgage-backed securities	621,215		(56,434)		336,782		(74,403)
Fixed rate U.S. Treasuries	314,524		(2,842)		704,780		(17,303)
Total	$	2,819,885	$	(96,252)	$	1,254,553	$	(98,280)

Number of securities in loss position			174				51

The unrealized losses presented above are principally due to a general widening of market spreads and changes in the levels of interest rates from the dates of acquisition to September 30, 2023 and December 31, 2022, 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 both September 30, 2023 and December 31, 2022, all of the investment securities in an unrealized loss position either were backed by the full faith and credit of the U.S. government, a U.S. government sponsored enterprise, or had credit ratings of at least "AA+."

Securities in unrealized loss positions for 12 months or longer have a fair value as of September 30, 2023 that is, on average, approximately 92.7% 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, changes in credit spread, and changes in levels of interest rates.

The amortized cost, fair value, and weighted-average yield of available-for-sale investment securities by remaining contractual maturity as of September 30, 2023 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, 2023
	Available-for-Sale Securities
	Amortized Cost		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	589,475	$	584,714	1.35%
Due after one year through five years	1,171,601		1,135,888		4.06%
Due after five years through ten years	2,534,914		2,358,496		4.39%
Due after ten years	818,486		794,316		5.61%
Total	$	5,114,476	$	4,873,414	4.16%

Table 3.1


	As of September 30, 2023
	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	$	4,158,857	$	(30,389)	$	4,128,468	$	(196)	$	4,525	$	(49,221)	$	4,083,576
Farmer Mac Guaranteed USDA Securities	29,109		33		29,142		—		—		(1,362)		27,780
Total Farmer Mac Guaranteed Securities	4,187,966		(30,356)		4,157,610		(196)		4,525		(50,583)		4,111,356
USDA Securities	2,299,407		22,948		2,322,355		—		194		(390,322)		1,932,227
Total held-to-maturity	$	6,487,373	$	(7,408)	$	6,479,965	$	(196)	$	4,719	$	(440,905)	$	6,043,583
Available-for-sale:
AgVantage	$	5,526,857	$	—	$	5,526,857	$	(374)	$	—	$	(477,775)	$	5,048,708
Farmer Mac Guaranteed Securities(3)	—		9,580		9,580		—		409		—		9,989
Total available-for-sale	$	5,526,857	$	9,580	$	5,536,437	$	(374)	$	409	$	(477,775)	$	5,058,697
Trading:
USDA Securities(4)	$	1,314	$	57	$	1,371	$	—	$	—	$	(69)	$	1,302

(1)Amounts presented exclude $53.3 million, $58.9 million, and $38,000 of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of September 30, 2023.

(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.


	As of December 31, 2022
	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	$	1,000,689	$	(95)	$	1,000,594	$	(59)	$	353	$	(54,098)	$	946,790
Farmer Mac Guaranteed USDA Securities	20,586		33		20,619		—		2		(856)		19,765
Total Farmer Mac Guaranteed Securities	1,021,275		(62)		1,021,213		(59)		355		(54,954)		966,555
USDA Securities	2,384,946		24,888		2,409,834		—		668		(312,824)		2,097,678
Total held-to-maturity	$	3,406,221	$	24,826	$	3,431,047	$	(59)	$	1,023	$	(367,778)	$	3,064,233
Available-for-sale:
AgVantage	$	8,008,067	$	806	$	8,008,873	$	(546)	$	2,061	$	(411,009)	$	7,599,379
Farmer Mac Guaranteed Securities(3)	—		10,622		10,622		—		—		(2,775)		$	7,847
Total available-for-sale	$	8,008,067	$	11,428	$	8,019,495	$	(546)	$	2,061	$	(413,784)	$	7,607,226
Trading:
USDA Securities(4)	$	1,770	$	80	$	1,850	$	—	$	—	$	(83)	$	1,767

(1)Amounts presented exclude $51.5 million, $44.4 million, and $47,000 of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of December 31, 2022.

On July 1, 2023, Farmer Mac transferred $2.7 billion of AgVantage Securities from available-for-sale to held-to-maturity to reflect Farmer Mac's positive intent and ability to hold these securities until maturity or payoff. Farmer Mac transferred these securities at fair value as of the date of the transfer, which included a cost basis adjustment of unrealized losses of $31.9 million. The accumulated unrealized losses were retained in accumulated other comprehensive income in the amount of $31.9 million. Farmer Mac accounts for held-to-maturity securities at amortized cost. Both the cost basis adjustment and accumulated unrealized depreciation will be amortized as an adjustment to the yield on the held-to-maturity AgVantage Securities over the remaining term of the transferred securities.

Table 3.2


	As of September 30, 2023
	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	$	2,022,393	$	(2,613)	$	812,575	$	(46,608)
Farmer Mac Guaranteed USDA Securities	19,559		(322)		8,251		(1,040)
USDA Securities	1,495		(22)		1,921,243		(390,300)
Total held-to-maturity	$	2,043,447	$	(2,957)	$	2,742,069	$	(437,948)

Available-for-sale:
AgVantage	$	993,705	$	(30,193)	$	4,055,377	$	(447,582)
Farmer Mac Guaranteed Securities	—		—		—		—
Total available-for-sale	$	993,705	$	(30,193)	$	4,055,377	$	(447,582)


	As of December 31, 2022
	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	$	548,634	$	(11,455)	$	382,358	$	(42,643)
Farmer Mac Guaranteed USDA Securities	19,790		(856)		—		—
USDA Securities	2,086,108		(312,824)		—		—
Total held-to-maturity	$	2,654,532	$	(325,135)	$	382,358	$	(42,643)

Available-for-sale:
AgVantage	$	4,642,096	$	(267,886)	$	1,548,551	$	(143,123)
Farmer Mac Guaranteed Securities	7,847		(2,775)		—		—
Total available-for-sale	$	4,649,943	$	(270,661)	$	1,548,551	$	(143,123)

The unrealized losses from AgVantage securities were on 76 and 95 available-for-sale securities as of September 30, 2023 and December 31, 2022, respectively. There were 59 and 37 held-to-maturity AgVantage securities with an unrealized loss as of September 30, 2023 and December 31, 2022, respectively. As of September 30, 2023 and December 31, 2022, 64 and 13 available-for-sale AgVantage securities, respectively, had been in a loss position for more than 12 months. As of September 30, 2023 and December 31, 2022, there were 26 and 4 held-to-maturity AgVantage securities, respectively, in a loss position for more than 12 months.

During the three and nine months ended September 30, 2023 and 2022 Farmer Mac had no sales of AgVantage Farmer Mac Guaranteed Securities, USDA Farmer Mac Guaranteed Securities or USDA Trading Securities and, therefore, Farmer Mac realized no gains or losses.

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, 2023 are set forth below. The balances presented are based on their contractual maturities, although the actual maturities may differ due to prepayments of the underlying assets.

Table 3.3


	As of September 30, 2023
	Available-for-Sale Securities
	Amortized Cost(1)		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	693,100	$	682,379	3.25	%
Due after one year through five years	2,739,174		2,579,604		3.47	%
Due after five years through ten years	1,142,500		997,848		3.27	%
Due after ten years	961,663		798,866		3.55	%
Total	$	5,536,437	$	5,058,697	3.41	%


	As of September 30, 2023
	Held-to-Maturity Securities
	Amortized Cost(1)		Fair Value		Weighted- Average Yield
	(dollars in thousands)
Due within one year	$	2,071,858	$	2,066,836	5.61	%
Due after one year through five years	1,321,681		1,269,796		4.22	%
Due after five years through ten years	453,755		409,148		4.30	%
Due after ten years	2,632,671		2,297,803		4.19	%
Total	$	6,479,965	$	6,043,583	4.68	%