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FARMER MAC GUARANTEED SECURITIES AND USDA SECURITIES | 9 Months Ended
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Sep. 30, 2024
Investments, Debt and Equity Securities [Abstract] |
FARMER MAC GUARANTEED SECURITIES AND USDA SECURITIES | INVESTMENT SECURITIES The following tables set forth information about Farmer Mac's available-for-sale and held-to-maturity investment securities as of September 30, 2024 and December 31, 2023: Table 2.1
| As of September 30, 2024
| 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 |  |  | $ | (25) |  |  | $ | — |  |  | $ | (197) |  |  | $ | 19,478 |
Floating rate Government/GSE guaranteed mortgage-backed securities | 2,450,408 |  |  | (525) |  |  | 2,449,883 |  |  | — |  |  | 3,756 |  |  | (17,204) |  |  | 2,436,435 |
Fixed rate GSE guaranteed mortgage-backed securities | 2,262,332 |  |  | (59,093) |  |  | 2,203,239 |  |  | — |  |  | 25,573 |  |  | (85,054) |  |  | 2,143,758 |
Floating rate U.S. Treasuries | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Fixed rate U.S. Treasuries | 1,281,077 |  |  | (12,578) |  |  | 1,268,499 |  |  | — |  |  | 10,331 |  |  | (565) |  |  | 1,278,265 |
Total available-for-sale | 6,013,517 |  |  | (72,196) |  |  | 5,941,321 |  |  | (25) |  |  | 39,660 |  |  | (103,020) |  |  | 5,877,936 |
Held-to-maturity: |  |  |  |  |  |  |  |  |  |  |  |  |
Floating rate Government/GSE guaranteed mortgage-backed securities(3) | 9,270 |  |  | — |  |  | 9,270 |  |  | — |  |  | 273 |  |  | — |  |  | 9,543 |
Total held-to-maturity | $ | 9,270 |  |  | $ | — |  |  | $ | 9,270 |  |  | $ | — |  |  | $ | 273 |  |  | $ | — |  |  | $ | 9,543 |
(1)Amounts presented exclude $24.5 million of accrued interest receivable on investment securities as of September 30, 2024. (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 6.4% as of September 30, 2024.
| As of December 31, 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) |  |  | $ | — |  |  | $ | (591) |  |  | $ | 19,082 |
Floating rate Government/GSE guaranteed mortgage-backed securities | 2,454,009 |  |  | (1,138) |  |  | 2,452,871 |  |  | — |  |  | 1,212 |  |  | (29,649) |  |  | 2,424,434 |
Fixed rate GSE guaranteed mortgage-backed securities | 1,727,669 |  |  | (46,788) |  |  | 1,680,881 |  |  | — |  |  | 6,558 |  |  | (117,824) |  |  | 1,569,615 |
Floating rate U.S. Treasuries | 50,000 |  |  | (17) |  |  | 49,983 |  |  | — |  |  | — |  |  | (15) |  |  | 49,968 |
Fixed rate U.S. Treasuries | 869,585 |  |  | (12,885) |  |  | 856,700 |  |  | — |  |  | 2,074 |  |  | (2,942) |  |  | 855,832 |
Total available-for-sale | 5,120,963 |  |  | (60,828) |  |  | 5,060,135 |  |  | (27) |  |  | 9,844 |  |  | (151,021) |  |  | 4,918,931 |
Held-to-maturity: |  |  |  |  |  |  |  |  |  |  |  |  |
Floating rate Government/GSE guaranteed mortgage-backed securities(3) | 53,756 |  |  | — |  |  | 53,756 |  |  | — |  |  | 1,745 |  |  | — |  |  | 55,501 |
Total held-to-maturity | $ | 53,756 |  |  | $ | — |  |  | $ | 53,756 |  |  | $ | — |  |  | $ | 1,745 |  |  | $ | — |  |  | $ | 55,501 |
(1)Amounts presented exclude $15.9 million of accrued interest receivable on investment securities as of December 31, 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 6.7% as of December 31, 2023. Farmer Mac did not sell any securities from its available-for-sale investment securities during the three months ended September 30, 2024. During the nine months ended September 30, 2024, Farmer Mac sold floating rate government/GSE guaranteed mortgage-backed securities for $115.2 million from its available-for-sale investment portfolio, resulting in a gain of $1.1 million. These sales were done to rebalance the liquidity investment portfolio given the lower level of business volume activity while demonstrating that the portfolio provides strong contingent liquidity. Farmer Mac did not sell any securities from its available-for-sale investment portfolio during the three and nine months ended September 30, 2023. As of September 30, 2024 and December 31, 2023, unrealized losses on available-for-sale investment securities were as follows: Table 2.2
| As of September 30, 2024
| 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 | $ | — |  |  | $ | — |  |  | $ | 19,478 |  |  | $ | (197) |
Floating rate Government/GSE guaranteed mortgage-backed securities | 367,575 |  |  | (514) |  |  | 1,074,472 |  |  | (16,690) |
Fixed rate Government/GSE guaranteed mortgage-backed securities | 24,873 |  |  | (42) |  |  | 986,007 |  |  | (85,012) |
Floating rate U.S. Treasuries | — |  |  | — |  |  | — |  |  | — |
Fixed rate U.S. Treasuries | 193,727 |  |  | (352) |  |  | 84,016 |  |  | (213) |
Total | $ | 586,175 |  |  | $ | (908) |  |  | $ | 2,163,973 |  |  | $ | (102,112) |
Number of securities in loss position |  |  | 39 |  |  |  |  | 148 |
| As of December 31, 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 | $ | — |  |  | $ | — |  |  | $ | 19,082 |  |  | $ | (591) |
Floating rate Government/GSE guaranteed mortgage-backed securities | 568,759 |  |  | (4,395) |  |  | 1,449,122 |  |  | (25,254) |
Fixed rate Government/GSE guaranteed mortgage-backed securities | 384,305 |  |  | (4,262) |  |  | 905,759 |  |  | (113,562) |
Floating rate U.S. Treasuries | 49,969 |  |  | (15) |  |  | — |  |  | — |
Fixed rate U.S. Treasuries | 140,435 |  |  | (606) |  |  | 237,192 |  |  | (2,336) |
Total | $ | 1,143,468 |  |  | $ | (9,278) |  |  | $ | 2,611,155 |  |  | $ | (141,743) |
Number of securities in loss position |  |  | 91 |  |  |  |  | 162 |
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, 2024 and December 31, 2023, 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, 2024 and December 31, 2023, 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, 2024 that is, on average, approximately 95.5% 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, or 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, 2024 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, 2024
| Available-for-Sale Securities
| Amortized Cost |  | Fair Value |  | Weighted- Average Yield
| (dollars in thousands)
Due within one year | $ | 346,788 |  |  | $ | 347,433 |  |  | 3.09%
Due after one year through five years | 2,372,245 |  |  | 2,377,160 |  |  | 4.33%
Due after five years through ten years | 2,474,834 |  |  | 2,414,718 |  |  | 4.27%
Due after ten years | 747,454 |  |  | 738,625 |  |  | 5.56%
Total | $ | 5,941,321 |  |  | $ | 5,877,936 |  |  | 4.39%
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 September 30, 2024 and December 31, 2023: Table 3.1
| As of September 30, 2024 |  |
| 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 | $ | 2,940,125 |  |  | $ | (27,545) |  |  | $ | 2,912,580 |  |  | $ | (153) |  |  | $ | 8,019 |  |  | $ | (23,287) |  |  | $ | 2,897,159 |  |  |
Farmer Mac Guaranteed USDA Securities | 48,616 |  |  | 28 |  |  | 48,644 |  |  | — |  |  | 261 |  |  | (1,682) |  |  | 47,223 |  |  |
Total Farmer Mac Guaranteed Securities | 2,988,741 |  |  | (27,517) |  |  | 2,961,224 |  |  | (153) |  |  | 8,280 |  |  | (24,969) |  |  | 2,944,382 |  |  |
USDA Securities | 2,324,019 |  |  | 19,854 |  |  | 2,343,873 |  |  | — |  |  | 130 |  |  | (232,761) |  |  | 2,111,242 |  |  |
Total held-to-maturity | $ | 5,312,760 |  |  | $ | (7,663) |  |  | $ | 5,305,097 |  |  | $ | (153) |  |  | $ | 8,410 |  |  | $ | (257,730) |  |  | $ | 5,055,624 |  |  |
Available-for-sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
AgVantage | $ | 5,930,382 |  |  | $ | — |  |  | $ | 5,930,382 |  |  | $ | (217) |  |  | $ | 39,387 |  |  | $ | (217,167) |  |  | $ | 5,752,385 |  |  |
Farmer Mac Guaranteed Securities(3) | — |  |  | 8,886 |  |  | 8,886 |  |  | — |  |  | 420 |  |  | — |  |  | 9,306 |  |  |
Total available-for-sale | $ | 5,930,382 |  |  | $ | 8,886 |  |  | $ | 5,939,268 |  |  | $ | (217) |  |  | $ | 39,807 |  |  | $ | (217,167) |  |  | $ | 5,761,691 |  |  |
Trading: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
USDA Securities(4) | $ | 838 |  |  | $ | 47 |  |  | $ | 885 |  |  | $ | — |  |  | $ | — |  |  | $ | (43) |  |  | $ | 842 |  |  |
(1)Amounts presented exclude $59.8 million, $51.6 million, and $20,090 of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of September 30, 2024. (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 $9.3 million of an interest-only security with a notional amount of $228.6 million. (4)The trading USDA securities had a weighted average yield of 5.48% as of September 30, 2024.
| As of December 31, 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 | $ | 4,206,324 |  |  | $ | (29,622) |  |  | $ | 4,176,702 |  |  | $ | (209) |  |  | $ | 4,676 |  |  | $ | (39,451) |  |  | $ | 4,141,718 |
Farmer Mac Guaranteed USDA Securities | 36,543 |  |  | 33 |  |  | 36,576 |  |  | — |  |  | 107 |  |  | (806) |  |  | 35,877 |
Total Farmer Mac Guaranteed Securities | 4,242,867 |  |  | (29,589) |  |  | 4,213,278 |  |  | (209) |  |  | 4,783 |  |  | (40,257) |  |  | 4,177,595 |
USDA Securities | 2,331,093 |  |  | 23,078 |  |  | 2,354,171 |  |  | — |  |  | 417 |  |  | (319,783) |  |  | 2,034,805 |
Total held-to-maturity | $ | 6,573,960 |  |  | $ | (6,511) |  |  | $ | 6,567,449 |  |  | $ | (209) |  |  | $ | 5,200 |  |  | $ | (360,040) |  |  | $ | 6,212,400 |
Available-for-sale: |  |  |  |  |  |  |  |  |  |  |  |  |
AgVantage | $ | 5,816,024 |  |  | $ | — |  |  | $ | 5,816,024 |  |  | $ | (317) |  |  | $ | 16,416 |  |  | $ | (309,411) |  |  | $ | 5,522,712 |
Farmer Mac Guaranteed Securities(3) | — |  |  | 9,409 |  |  | 9,409 |  |  | — |  |  | 358 |  |  | — |  |  | 9,767 |
Total available-for-sale | $ | 5,816,024 |  |  | $ | 9,409 |  |  | $ | 5,825,433 |  |  | $ | (317) |  |  | $ | 16,774 |  |  | $ | (309,411) |  |  | $ | 5,532,479 |
Trading: |  |  |  |  |  |  |  |  |  |  |  |  |
USDA Securities(4) | $ | 1,236 |  |  | $ | 64 |  |  | $ | 1,300 |  |  | $ | — |  |  | $ | — |  |  | $ | (59) |  |  | $ | 1,241 |
(1)Amounts presented exclude $47.2 million, $67.4 million, and $42,000 of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of December 31, 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 $9.8 million of an interest-only security with a notional amount of $238.4 million. (4)The trading USDA securities had a weighted average yield of 5.46% as of December 31, 2023. 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 due to unrealized losses of $31.9 million. The accumulated unrealized losses were recorded in accumulated other comprehensive income in the amount of $31.9 million. 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. As of September 30, 2024 and December 31, 2023, 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, 2024
| 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 | $ | 1,536,693 |  |  | $ | (5,100) |  |  | $ | 705,981 |  |  | $ | (18,187) |
Farmer Mac Guaranteed USDA Securities | 28,467 |  |  | (1,193) |  |  | 8,378 |  |  | (489) |
USDA Securities | 7,569 |  |  | (16) |  |  | 2,099,685 |  |  | (232,745) |
Total held-to-maturity | $ | 1,572,729 |  |  | $ | (6,309) |  |  | $ | 2,814,044 |  |  | $ | (251,421) |
Available-for-sale: |  |  |  |  |  |  |
AgVantage | $ | 199,910 |  |  | $ | (90) |  |  | $ | 3,853,189 |  |  | $ | (217,077) |
Total available-for-sale | $ | 199,910 |  |  | $ | (90) |  |  | $ | 3,853,189 |  |  | $ | (217,077) |
| As of December 31, 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 | $ | 2,070,770 |  |  | $ | (6,705) |  |  | $ | 725,347 |  |  | $ | (32,746) |
Farmer Mac Guaranteed USDA Securities | — |  |  | — |  |  | 8,393 |  |  | (806) |
USDA Securities | — |  |  | — |  |  | 2,023,801 |  |  | (319,783) |
Total held-to-maturity | $ | 2,070,770 |  |  | $ | (6,705) |  |  | $ | 2,757,541 |  |  | $ | (353,335) |
Available-for-sale: |  |  |  |  |  |  |
AgVantage | $ | 508,182 |  |  | $ | (5,716) |  |  | $ | 4,043,431 |  |  | $ | (303,695) |
Total available-for-sale | $ | 508,182 |  |  | $ | (5,716) |  |  | $ | 4,043,431 |  |  | $ | (303,695) |
The unrealized losses presented above are principally due to changes in interest rates from the date of acquisition to September 30, 2024 and December 31, 2023, as applicable. The credit exposure related to Farmer Mac's USDA Securities in the Agricultural Finance line of business is covered by the full faith and credit guarantee of the United States of America. The unrealized losses from AgVantage securities were on 58 and 68 available-for-sale securities as of September 30, 2024 and December 31, 2023, respectively. There were 48 and 53 held-to-maturity AgVantage securities with an unrealized loss as of September 30, 2024 and December 31, 2023, respectively. As of September 30, 2024 and December 31, 2023, 57 and 62 available-for-sale AgVantage securities had been in a loss position for more than 12 months, respectively. As of September 30, 2024 and December 31, 2023, there were 16 and 22 held-to-maturity AgVantage securities, respectively, in a loss position for more than 12 months. During the three and nine months ended September 30, 2024 and 2023 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, 2024 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, 2024
| Available-for-Sale Securities
| Amortized Cost(1) |  | Fair Value |  | Weighted- Average Yield
| (dollars in thousands)
Due within one year | $ | 596,516 |  |  | $ | 593,048 |  |  | 3.58 | %
Due after one year through five years | 3,255,116 |  |  | 3,213,655 |  |  | 3.82 | %
Due after five years through ten years | 950,000 |  |  | 902,642 |  |  | 3.60 | %
Due after ten years | 1,137,636 |  |  | 1,052,346 |  |  | 3.82 | %
Total | $ | 5,939,268 |  |  | $ | 5,761,691 |  |  | 3.75 | %
(1)Amounts presented exclude $59.8 million of accrued interest receivable.
| As of September 30, 2024
| Held-to-Maturity Securities
| Amortized Cost(1) |  | Fair Value |  | Weighted- Average Yield
| (dollars in thousands)
Due within one year | $ | 1,184,967 |  |  | $ | 1,178,075 |  |  | 5.16 | %
Due after one year through five years | 1,172,821 |  |  | 1,158,934 |  |  | 4.64 | %
Due after five years through ten years | 290,568 |  |  | 262,229 |  |  | 3.70 | %
Due after ten years | 2,656,741 |  |  | 2,456,386 |  |  | 4.36 | %
Total | $ | 5,305,097 |  |  | $ | 5,055,624 |  |  | 4.61 | %
(1)Amounts presented exclude $51.6 million of accrued interest receivable.

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