XML 34 R24.htm IDEA: XBRL DOCUMENT

Farmer Mac Guaranteed Securities and USDA Securities (Tables)

9 Months Ended

Sep. 30, 2023

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 available-for-sale and held-to-maturity investment securities as of September 30, 2023 and December 31, 2022:

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

(1)Amounts presented exclude $17.4 million of accrued interest receivable on investment securities as of September 30, 2023.

(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 6.5% as of September 30, 2023.


	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

(1)Amounts presented exclude $10.6 million of accrued interest receivable on investment securities as of December 31, 2022.

(3)The held-to-maturity investment securities had a weighted average yield of 4.5% as of December 31, 2022.

The following tables set forth information about on-balance sheet Farmer Mac Guaranteed Securities and USDA Securities as of September 30, 2023 and December 31, 2022:

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.

(3)Fair value includes $10.0 million of an interest-only security with a notional amount of $239.1 million.

(4)The trading USDA securities had a weighted average yield of 5.50% as of September 30, 2023.


	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.

(3)Fair value includes $7.8 million of an interest-only security with a notional amount of $250.1 million.

(4)The trading USDA securities had a weighted average yield of 4.84% as of December 31, 2022.

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

As of September 30, 2023 and December 31, 2022, unrealized losses on available-for-sale investment securities were as follows:

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

As of September 30, 2023 and December 31, 2022, 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, 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)

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, 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%

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	%

(1)Amounts presented exclude $53.3 million of accrued interest receivable.


	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	%

(1)Amounts presented exclude $58.9 million of accrued interest receivable.