XML 17 R10.htm IDEA: XBRL DOCUMENT
v3.20.1

Investment Securities | 3 Months Ended
--- | ---
Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract] |
INVESTMENT SECURITIES | INVESTMENT SECURITIES The following tables set forth information about Farmer Mac's investment securities as of March 31, 2020 and December 31, 2019: Table 2.1
| As of March 31, 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 |  |  | $ | (24) |  |  | $ | — |  |  | $ | (2,955) |  |  | $ | 16,721 |
Floating rate asset-backed securities |  | 10,521 |  |  | — |  |  | 10,521 |  |  | — |  |  | — |  |  | (18) |  |  | 10,503 |
Floating rate Government/GSE guaranteed mortgage-backed securities |  | 1,783,998 |  |  | 295 |  |  | 1,784,293 |  |  | — |  |  | 4,985 |  |  | (11,279) |  |  | 1,777,999 |
Fixed rate GSE guaranteed mortgage-backed securities | 306 |  |  | — |  |  | 306 |  |  | — |  |  | 29 |  |  | — |  |  | 335 |
Fixed rate U.S. Treasuries |  | 1,140,465 |  |  | 4,409 |  |  | 1,144,874 |  |  | — |  |  | 10,725 |  |  | — |  |  | 1,155,599 |
Total available-for-sale |  | 2,954,990 |  |  | 4,704 |  |  | 2,959,694 |  |  | (24) |  |  | 15,739 |  |  | (14,252) |  |  | 2,961,157 |
Held-to-maturity: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Floating rate Government/GSE guaranteed mortgage-backed securities(3) | 45,032 |  |  | — |  |  | 45,032 |  |  | — |  |  | 131 |  |  | — |  |  | 45,163 |
Total investment securities |  | $ | 3,000,022 |  |  | $ | 4,704 |  |  | $ | 3,004,726 |  |  | $ | (24) |  |  | $ | 15,870 |  |  | $ | (14,252) |  |  | $ | 3,006,320 |
(1)Amounts presented exclude $8.3 million of accrued interest receivable on investment securities as of March 31, 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 3.0% as of March 31, 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. Farmer Mac did not sell any securities from its available-for-sale investment portfolio during the three months ended March 31, 2020 and 2019. As of March 31, 2020 and December 31, 2019, unrealized losses on available-for-sale investment securities were as follows: Table 2.2
| As of March 31, 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 |  | $ | — |  |  | $ | — |  |  | $ | 16,721 |  |  | $ | (2,955) |
Floating rate asset-backed securities |  | 2,544 |  |  | (9) |  |  | 7,959 |  |  | (9) |
Floating rate Government/GSE guaranteed mortgage-backed securities |  | 871,617 |  |  | (6,208) |  |  | 411,651 |  |  | (5,071) |
Total |  | $ | 874,161 |  |  | $ | (6,217) |  |  | $ | 436,331 |  |  | $ | (8,035) |
Number of securities in loss position |  |  |  | 65 |  |  |  |  | 67 |
| 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 |
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 March 31, 2020 and December 31, 2019, 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 March 31, 2020 and December 31, 2019, all of the investment securities in an unrealized loss position either were backed by the full faith and credit of the U.S. government or had credit ratings of at least "AA+." Securities in unrealized loss positions for 12 months or longer have a fair value as of March 31, 2020 that is, on average, approximately 98.2% 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 or changes in credit spreads. The amortized cost, fair value, and weighted-average yield of available-for-sale investment securities by remaining contractual maturity as of March 31, 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 March 31, 2020 |  |  |  |
| Available-for-Sale Securities |  |  |  |
| Amortized Cost |  | Fair Value |  | Weighted- Average Yield
| (dollars in thousands) |  |  |  |
Due within one year | $ | 1,013,044 |  |  | $ | 1,021,217 |  |  | 2.03%
Due after one year through five years | 399,388 |  |  | 399,311 |  |  | 2.02%
Due after five years through ten years | 808,042 |  |  | 804,652 |  |  | 2.03%
Due after ten years | 739,220 |  |  | 735,977 |  |  | 1.91%
Total | $ | 2,959,694 |  |  | $ | 2,961,157 |  |  | 2.00%
FARMER MAC GUARANTEED SECURITIES AND USDA SECURITIES The following tables set forth information about on-balance sheet Farmer Mac Guaranteed Securities and USDA Securities as of March 31, 2020 and December 31, 2019: Table 3.1
| As of March 31, 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 | $ | 1,415,120 |  |  | $ | (110) |  |  | $ | 1,415,010 |  |  | $ | (640) |  |  | $ | 31,294 |  |  | $ | — |  |  | $ | 1,445,664 |
Farmer Mac Guaranteed USDA Securities | 33,440 |  |  | 73 |  |  | 33,513 |  |  | — |  |  | 879 |  |  | — |  |  | 34,392 |
Total Farmer Mac Guaranteed Securities | 1,448,560 |  |  | (37) |  |  | 1,448,523 |  |  | (640) |  |  | 32,173 |  |  | — |  |  | 1,480,056 |
USDA Securities | 2,234,027 |  |  | 35,584 |  |  | 2,269,611 |  |  | — |  |  | 68,166 |  |  | (1,637) |  |  | 2,336,140 |
Total held-to-maturity | $ | 3,682,587 |  |  | $ | 35,547 |  |  | $ | 3,718,134 |  |  | $ | (640) |  |  | $ | 100,339 |  |  | $ | (1,637) |  |  | $ | 3,816,196 |
Available-for-sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
AgVantage | $ | 7,273,414 |  |  | $ | (111) |  |  | $ | 7,273,303 |  |  | $ | (166) |  |  | $ | 378,974 |  |  | $ | (64,925) |  |  | $ | 7,587,186 |
Trading: |  |  |  |  |  |  |  |  |  |  |  |  |
USDA Securities(3) | $ | 7,835 |  |  | $ | 433 |  |  | $ | 8,268 |  |  | $ | — |  |  | $ | 149 |  |  | $ | (9) |  |  | $ | 8,408 |
(1)Amounts presented exclude $35.9 million, $40.6 million, and $0.2 million of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of March 31, 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 5.19% as of March 31, 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. As of March 31, 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 March 31, 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 | $ | — |  |  | $ | — |  |  | $ | 25,066 |  |  | $ | (1,637) |
Total held-to-maturity | $ | — |  |  | $ | — |  |  | $ | 25,066 |  |  | $ | (1,637) |
Available-for-sale: |  |  |  |  |  |  |
AgVantage | $ | 244,823 |  |  | $ | (540) |  |  | $ | 830,797 |  |  | $ | (64,385) |
| 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) |
The unrealized losses presented above are principally due to changes in interest rates from the date of acquisition to March 31, 2020 and December 31, 2019, as applicable. The unrealized losses on the held-to-maturity USDA Securities as of both March 31, 2020 and December 31, 2019 reflect their increased cost basis resulting from their transfer to held-to-maturity as of October 1, 2016. The credit exposure related to Farmer Mac's USDA Guarantees line of business is covered by the full faith and credit guarantee of the United States. The unrealized losses from AgVantage securities were on 9 and 17 available-for-sale securities as of March 31, 2020 and December 31, 2019, respectively. There were 0 and 4 held-to-maturity AgVantage securities with an unrealized loss as of March 31, 2020 and December 31, 2019, respectively. As of March 31, 2020 and December 31, 2019, 6 and 13 available-for-sale AgVantage securities, respectively, had been in a loss position for more than 12 months. During the three months ended March 31, 2020 and 2019, Farmer Mac had no sales of Farmer Mac Guaranteed Securities or USDA 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 March 31, 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 March 31, 2020 |  |  |  |
| Available-for-Sale Securities |  |  |  |
| Amortized Cost(1) |  | Fair Value(2) |  | Weighted- Average Yield
| (dollars in thousands) |  |  |  |
Due within one year | $ | 1,202,779 |  |  | $ | 1,207,673 |  |  | 1.82 | %
Due after one year through five years | 3,358,079 |  |  | 3,479,730 |  |  | 2.77 | %
Due after five years through ten years | 1,181,538 |  |  | 1,259,191 |  |  | 2.86 | %
Due after ten years | 1,530,907 |  |  | 1,640,758 |  |  | 3.10 | %
Total | $ | 7,273,303 |  |  | $ | 7,587,352 |  |  | 2.70 | %
(1)Amounts presented exclude $35.9 million of accrued interest receivable. (2)Amounts presented exclude $0.2 million related to the allowance for losses.
| As of March 31, 2020 |  |  |  |
| Held-to-Maturity Securities |  |  |  |
| Amortized Cost(1) |  | Fair Value(2) |  | Weighted- Average Yield
| (dollars in thousands) |  |  |  |
Due within one year | $ | 655,928 |  |  | $ | 660,512 |  |  | 2.57 | %
Due after one year through five years | 840,702 |  |  | 869,401 |  |  | 3.27 | %
Due after five years through ten years | 210,888 |  |  | 216,447 |  |  | 3.34 | %
Due after ten years | 2,010,616 |  |  | 2,070,476 |  |  | 3.52 | %
Total | $ | 3,718,134 |  |  | $ | 3,816,836 |  |  | 3.29 | %
(1)Amounts presented exclude $40.6 million of accrued interest receivable. (2)Amounts presented exclude $0.6 million related to the allowance for losses.

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2176304 + Details
Name: | us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration