FEDERAL AGRICULTURAL MORTGAGE CORP 10-Q

Item 1. Financial Statements FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES CONSOLIDATED BALANCE SHEETS (unaudited) As of March 31, 2021 December 31, 2020 (in thousands) Assets: Cash and cash equivalents $ 1,012,541 $ 1,033,941 Investment securities: Available-for-sale, at fair value (amortized cost of $ 3,800,537 and $ 3,843,666 , respectively) 3,809,632 3,853,692 Held-to-maturity, at amortized cost 45,032 45,032 Other investments 403 — Total Investment Securities 3,855,067 3,898,724 Farmer Mac Guaranteed Securities: Available-for-sale, at fair value (amortized cost of $ 6,511,776 and $ 6,594,992 , respectively) 6,763,209 6,947,701 Held-to-maturity, at amortized cost 1,158,792 1,175,792 Total Farmer Mac Guaranteed Securities 7,922,001 8,123,493 USDA Securities: Trading, at fair value 5,578 6,695 Held-to-maturity, at amortized cost 2,489,500 2,473,626 Total USDA Securities 2,495,078 2,480,321 Loans: Loans held for investment, at amortized cost 7,341,912 7,261,933 Loans held for investment in consolidated trusts, at amortized cost 1,174,525 1,287,045 Allowance for losses ( 14,807 ) ( 13,832 ) Total loans, net of allowance 8,501,630 8,535,146 Financial derivatives, at fair value 18,370 17,468 Interest receivable (includes $ 8,411 and $ 16,401 , respectively, related to consolidated trusts) 141,764 186,429 Guarantee and commitment fees receivable 35,878 37,113 Deferred tax asset, net — 18,321 Prepaid expenses and other assets 31,582 24,545 Total Assets $ 24,013,911 $ 24,355,501 Liabilities and Equity: Liabilities: Notes payable $ 21,560,310 $ 21,848,917 Debt securities of consolidated trusts held by third parties 1,188,521 1,323,786 Financial derivatives, at fair value 28,345 29,892 Accrued interest payable (includes $ 6,752 and $ 14,370 , respectively, related to consolidated trusts) 85,216 92,738 Guarantee and commitment obligation 34,403 35,535 Accounts payable and accrued expenses 36,770 28,879 Deferred tax liability, net 521 — Reserve for losses 2,333 3,277 Total Liabilities 22,936,419 23,363,024 Commitments and Contingencies (Note 6) Equity: Preferred stock: Series C, par value $ 25 per share, 3,000,000 shares authorized, issued and outstanding 73,382 73,382 Series D, par value $ 25 per share, 4,000,000 shares authorized, issued and outstanding 96,659 96,659 Series E, par value $ 25 per share, 3,180,000 shares authorized, issued and outstanding 77,003 77,003 Series F, par value $ 25 per share, 4,800,000 shares authorized, issued and outstanding 116,160 116,160 Common stock: Class A Voting, $ 1 par value, no maximum authorization, 1,030,780 shares outstanding 1,031 1,031 Class B Voting, $ 1 par value, no maximum authorization, 500,301 shares outstanding 500 500 Class C Non-Voting, $ 1 par value, no maximum authorization, 9,227,132 shares and 9,205,897 shares outstanding, respectively 9,227 9,206 Additional paid-in capital 123,718 122,899 Accumulated other comprehensive income/(loss), net of tax 51,744 ( 13,923 ) Retained earnings 528,068 509,560 Total Equity 1,077,492 992,477 Total Liabilities and Equity $ 24,013,911 $ 24,355,501 The accompanying notes are an integral part of these consolidated financial statements. 3 FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF OPERATIONS (unaudited) For the Three Months Ended March 31, 2021 March 31, 2020 (in thousands, except per share amounts) Interest income: Investments and cash equivalents $ 5,529 $ 17,741 Farmer Mac Guaranteed Securities and USDA Securities 42,404 71,517 Loans 59,494 60,596 Total interest income 107,427 149,854 Total interest expense 54,176 108,542 Net interest income 53,251 41,312 Provision for losses ( 913 ) ( 3,438 ) Net interest income after provision for losses 52,338 37,874 Non-interest income/(expense): Guarantee and commitment fees 3,030 3,196 Gains/(losses) on financial derivatives 4,293 ( 9,298 ) (Losses)/gains on trading securities ( 13 ) 106 Gains on sale of real estate owned — 485 Release of/(provision for) reserve for losses 944 ( 393 ) Other income 583 816 Non-interest income/(expense) 8,837 ( 5,088 ) Operating expenses: Compensation and employee benefits 11,795 10,127 General and administrative 6,336 5,363 Regulatory fees 750 725 Operating expenses 18,881 16,215 Income before income taxes 42,294 16,571 Income tax expense 9,067 3,741 Net income 33,227 12,830 Preferred stock dividends ( 5,269 ) ( 3,431 ) Net income attributable to common stockholders $ 27,958 $ 9,399 Earnings per common share: Basic earnings per common share $ 2.60 $ 0.88 Diluted earnings per common share $ 2.58 $ 0.87 The accompanying notes are an integral part of these consolidated financial statements. 4 FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (unaudited) For the Three Months Ended March 31, 2021 March 31, 2020 (in thousands) Net income $ 33,227 $ 12,830 Other comprehensive income/(loss) before taxes: Net unrealized gains/(losses) on available-for-sale securities 66,364 ( 99,316 ) Net changes in held-to-maturity securities ( 2,157 ) ( 5,688 ) Net unrealized gains/(losses) on cash flow hedges 18,916 ( 28,256 ) Other comprehensive income/(loss) before tax 83,123 ( 133,260 ) Income tax (expense)/benefit related to other comprehensive income/(loss) ( 17,456 ) 27,984 Other comprehensive income/(loss) net of tax 65,667 ( 105,276 ) Comprehensive income/(loss) $ 98,894 $ ( 92,446 ) The accompanying notes are an integral part of these consolidated financial statements. 5 FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF EQUITY (unaudited) Accumulated Additional Other Preferred Stock Common Stock Paid-In Comprehensive Retained Total Shares Amount Shares Amount Capital Income/(Loss) Earnings Equity (in thousands) Balance as of December 31, 2019 9,400 $ 228,374 10,712 $ 10,712 $ 119,304 $ ( 16,161 ) $ 457,047 $ 799,276 Cumulative effect adjustment from adoption of current expected credit loss standard — — — — — — ( 2,099 ) ( 2,099 ) Balances as of January 1, 2020 9,400 $ 228,374 10,712 $ 10,712 $ 119,304 $ ( 16,161 ) $ 454,948 $ 797,177 Net Income — — — — — — 12,830 12,830 Other comprehensive loss, net of tax — — — — — ( 105,276 ) — ( 105,276 ) Cash dividends: Preferred stock — — — — — — ( 3,431 ) ( 3,431 ) Common stock (cash dividend of $ 0.80 per share) — — — — — — ( 8,571 ) ( 8,571 ) Issuance of Class C Common Stock — — 15 15 19 — — 34 Repurchase of Class C Common Stock — — ( 4 ) ( 4 ) — — ( 231 ) ( 235 ) Stock-based compensation cost — — — — 1,293 — 1,293 Other stock-based award activity — — — — ( 204 ) — — ( 204 ) Balance as of March 31, 2020 9,400 $ 228,374 10,723 $ 10,723 $ 120,412 $ ( 121,437 ) $ 455,545 $ 693,617 Balance as of December 31, 2020 14,980 $ 363,204 10,737 $ 10,737 $ 122,899 $ ( 13,923 ) $ 509,560 $ 992,477 Net Income — — — — — — 33,227 33,227 Other comprehensive income, net of tax — — — — — 65,667 — 65,667 Cash dividends: Preferred stock — — — — — — ( 5,269 ) ( 5,269 ) Common stock (cash dividend of $ 0.88 per share) — — — — — — ( 9,450 ) ( 9,450 ) Issuance of Class C Common Stock — — 21 21 12 — — 33 Stock-based compensation cost — — — — 1,665 1,665 Other stock-based award activity — — — — ( 858 ) — — ( 858 ) Balance as of March 31, 2021 14,980 $ 363,204 10,758 $ 10,758 $ 123,718 $ 51,744 $ 528,068 $ 1,077,492 The accompanying notes are an integral part of these consolidated financial statements. 6 FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF CASH FLOWS ( unaudited ) For the Three Months Ended March 31, 2021 March 31, 2020 (in thousands) Cash flows from operating activities: Net income $ 33,227 $ 12,830 Adjustments to reconcile net income to net cash provided by operating activities: Net amortization of deferred gains, premiums, and discounts on loans, investments, Farmer Mac Guaranteed Securities, and USDA Securities 4,933 ( 177 ) Amortization of debt premiums, discounts, and issuance costs 1,994 9,221 Net change in fair value of trading securities, hedged assets, and financial derivatives 300,424 ( 379,004 ) Gain on sale of real estate owned — ( 485 ) Total (release)/provision for allowance for losses ( 31 ) 3,831 Excess tax benefits related to stock-based awards 190 ( 508 ) Deferred income taxes 1,387 ( 3,347 ) Stock-based compensation expense 1,665 1,293 Proceeds from repayment of loans purchased as held for sale 25,374 20,674 Net change in: Interest receivable 43,601 44,679 Guarantee and commitment fees receivable 103 160 Other assets ( 7,227 ) ( 39,783 ) Accrued interest payable ( 7,522 ) ( 2,579 ) Other liabilities ( 322 ) 2,884 Net cash provided by/(used in) operating activities 397,796 ( 330,311 ) Cash flows from investing activities: Purchases of available-for-sale investment securities ( 400,701 ) ( 704,306 ) Purchases of other investment securities ( 403 ) — Purchases of Farmer Mac Guaranteed Securities and USDA Securities ( 599,833 ) ( 657,959 ) Purchases of loans held for investment ( 728,748 ) ( 554,771 ) Purchases of defaulted loans ( 8,713 ) — Proceeds from repayment of available-for-sale investment securities 446,325 706,061 Proceeds from repayment of Farmer Mac Guaranteed Securities and USDA Securities 683,090 408,103 Proceeds from repayment of loans purchased as held for investment 624,448 345,736 Proceeds from sale of Farmer Mac Guaranteed Securities 49,133 28,050 Proceeds from sale of real estate owned — 2,191 Net cash provided by/(used in) investing activities 64,598 ( 426,895 ) Cash flows from financing activities: Proceeds from issuance of discount notes 16,077,510 17,783,348 Proceeds from issuance of medium-term notes 3,498,544 3,734,025 Payments to redeem discount notes ( 16,199,154 ) ( 17,387,222 ) Payments to redeem medium-term notes ( 3,638,000 ) ( 2,633,565 ) Payments to third parties on debt securities of consolidated trusts ( 207,861 ) ( 99,769 ) Proceeds from common stock issuance 12 19 Tax payments related to share-based awards ( 126 ) ( 189 ) Purchases of common stock — ( 235 ) Dividends paid on common and preferred stock ( 14,719 ) ( 12,002 ) Net cash (used in)/provided by financing activities ( 483,794 ) 1,384,410 Net change in cash and cash equivalents ( 21,400 ) 627,204 Cash and cash equivalents at beginning of period 1,033,941 604,381 Cash and cash equivalents at end of period $ 1,012,541 $ 1,231,585 Non-cash activity: Loans acquired and securitized as Farmer Mac Guaranteed Securities 49,133 28,050 Consolidation of Farmer Mac Guaranteed Securities from off-balance sheet to loans held for investment in consolidated trusts and to debt securities of consolidated trusts held by third parties 49,133 28,050 Reclassification of defaulted loans from loans held for investment in consolidated trusts to loans held for investment 23,463 4,742 Capitalized interest 782 — Purchases of securities - traded, not yet settled 7,502 50,000 The accompanying notes are an integral part of these consolidated financial statements. 7 FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The interim unaudited consolidated financial statements of the Federal Agricultural Mortgage Corporation ("Farmer Mac") and subsidiaries have been prepared pursuant to the rules and regulations of the U.S. Securities and Exchange Commission ("SEC"). These interim unaudited consolidated financial statements reflect all normal and recurring adjustments that are, in the opinion of management, necessary to present a fair statement of the financial position and the results of operations and cash flows of Farmer Mac and subsidiaries for the interim periods presented. Certain information and footnote disclosures normally included in the annual consolidated financial statements have been omitted as permitted by SEC rules and regulations. The December 31, 2020 consolidated balance sheet presented in this report has been derived from Farmer Mac's audited 2020 consolidated financial statements. Management believes that the disclosures are adequate to present fairly the consolidated financial statements as of the dates and for the periods presented. These interim unaudited consolidated financial statements should be read in conjunction with the 2020 consolidated financial statements of Farmer Mac and subsidiaries included in Farmer Mac's Annual Report on Form 10-K for the year ended December 31, 2020, as filed with the SEC on February 25, 2021. Results for interim periods are not necessarily indicative of those that may be expected for the fiscal year. Presented below are Farmer Mac's significant accounting policies that contain updated information for the three months ended March 31, 2021. Principles of Consolidation The consolidated financial statements include the accounts of Farmer Mac and its two subsidiaries during the year: (1) Farmer Mac Mortgage Securities Corporation ("FMMSC"), whose principal activities are to facilitate the purchase and issuance of Farmer Mac Guaranteed Securities; and (2) Farmer Mac II LLC, whose principal activity is the operation of substantially all of the business related to the USDA Guarantees line of business – primarily the acquisition of USDA Securities. The consolidated financial statements also include the accounts of Variable Interest Entities ("VIEs") in which Farmer Mac determined itself to be the primary beneficiary . 8 Table 1.1 Consolidation of Variable Interest Entities As of March 31, 2021 Farm & Ranch USDA Guarantees Corporate Total (in thousands) On-Balance Sheet: Consolidated VIEs: Loans held for investment in consolidated trusts, at amortized cost $ 1,174,525 $ — $ — $ 1,174,525 Debt securities of consolidated trusts held by third parties (1) 1,188,521 — — 1,188,521 Unconsolidated VIEs: Farmer Mac Guaranteed Securities: Carrying value (2) — 32,128 — 32,128 Maximum exposure to loss (3) — 32,050 — 32,050 Investment securities: Carrying value (4) — — 1,963,903 1,963,903 Maximum exposure to loss (3) (4) — — 1,954,583 1,954,583 Off-Balance Sheet: Unconsolidated VIEs: Farmer Mac Guaranteed Securities: Maximum exposure to loss (3) (5) 72,203 284,868 — 357,071 (1) Includes borrower remittances of $ 14.0 million. The borrower remittances had not been passed through to third party investors as of March 31, 2021. (2) Includes $ 0.1 million of unamortized premiums and discounts and fair value adjustments related to the USDA Guarantees line of business. (3) Farmer Mac uses unpaid principal balance and outstanding face amount of investment securities to represent maximum exposure to loss. (4) Includes auction-rate certificates, government-sponsored enterprise ("GSE")-guaranteed mortgage-backed securities, and other mission related investments. (5) The amount under the Farm & Ranch line of business relates to unconsolidated trusts where Farmer Mac determined it was not the primary beneficiary due to shared power with an unrelated party. Consolidation of Variable Interest Entities As of December 31, 2020 Farm & Ranch USDA Guarantees Corporate Total (in thousands) On-Balance Sheet: Consolidated VIEs: Loans held for investment in consolidated trusts, at amortized cost $ 1,287,045 $ — $ — $ 1,287,045 Debt securities of consolidated trusts held by third parties (1) 1,323,786 — — 1,323,786 Unconsolidated VIEs: Farmer Mac Guaranteed Securities: Carrying value (2) — 34,537 — 34,537 Maximum exposure to loss (3) — 34,456 — 34,456 Investment securities: Carrying value (4) — — 1,918,672 1,918,672 Maximum exposure to loss (3) (4) — — 1,909,535 1,909,535 Off-Balance Sheet: Unconsolidated VIEs: Farmer Mac Guaranteed Securities: Maximum exposure to loss (3) (5) 79,312 299,298 — 378,610 (1) Includes borrower remittances of $ 36.7 million. The borrower remittances had not been passed through to third party investors as of December 31, 2020. 9 (2) Includes $ 0.1 million of unamortized premiums and discounts and fair value adjustments related to the USDA Guarantees line of business. (3) Farmer Mac uses unpaid principal balance and outstanding face amount of investment securities to represent maximum exposure to loss. (4) Includes auction-rate certificates, asset-backed securities, and government-sponsored enterprise ("GSE")-guaranteed mortgage-backed securities. (5) The amount under the Farm & Ranch line of business relates to unconsolidated trusts where Farmer Mac determined it was not the primary beneficiary due to shared power with an unrelated party. (a) Earnings Per Common Share Basic earnings per common share ("EPS") is based on the daily weighted-average number of shares of common stock outstanding. Diluted earnings per common share is based on the daily weighted-average number of shares of common stock outstanding adjusted to include all potentially dilutive stock appreciation rights ("SARs") and unvested restricted stock awards. The following schedule reconciles basic and diluted EPS for the three months ended March 31, 2021 and 2020: Table 1.2 For the Three Months Ended March 31, 2021 March 31, 2020 Net Income Weighted-Average Shares $ per Share Net Income Weighted-Average Shares $ per Share (in thousands, except per share amounts) Basic EPS Net income attributable to common stockholders $ 27,958 10,738 $ 2.60 $ 9,399 10,712 $ 0.88 Effect of dilutive securities (1) SARs and restricted stock — 81 ( 0.02 ) — 70 ( 0.01 ) Diluted EPS $ 27,958 10,819 $ 2.58 $ 9,399 10,782 $ 0.87 (1) For the three months ended March 31, 2021 and 2020, SARs and restricted stock of 99,684 and 87,148 , respectively, were outstanding but not included in the computation of diluted earnings per share of common stock because they were anti-dilutive. For the three months ended March 31, 2021 and 2020, contingent shares of unvested restricted stock of 18,183 and 12,680 , respectively, were outstanding but not included in the computation of diluted earnings per share of common stock because performance conditions had not yet been met. (b) Comprehensive Income Comprehensive income represents all changes in stockholders' equity except those resulting from investments by or distributions to stockholders, and is comprised of net income and unrealized gains and losses on available-for-sale securities, certain held-to-maturity securities transferred from the available-for-sale classification, and cash flow hedges, net of related taxes. 10 The following table presents the changes in accumulated other comprehensive income ("AOCI"), net of tax, by component for the three months ended March 31, 2021 and 2020. Table 1.3 As of March 31, 2021 As of March 31, 2020 Available-for-Sale Securities Held-to-Maturity Securities Cash Flow Hedges Total Available-for-Sale Securities Held-to-Maturity Securities Cash Flow Hedges Total (in thousands) For the Three Months Ended: Beginning Balance $ ( 13,937 ) $ 22,829 $ ( 22,815 ) $ ( 13,923 ) $ ( 43,397 ) $ 32,845 $ ( 5,609 ) $ ( 16,161 ) Other comprehensive income/(loss) before reclassifications 53,211 — 13,562 66,773 ( 77,685 ) — ( 22,668 ) ( 100,353 ) Amounts reclassified from AOCI ( 783 ) ( 1,704 ) 1,381 ( 1,106 ) ( 776 ) ( 4,494 ) 347 ( 4,923 ) Net comprehensive income/(loss) 52,428 ( 1,704 ) 14,943 65,667 ( 78,461 ) ( 4,494 ) ( 22,321 ) ( 105,276 ) Ending Balance $ 38,491 $ 21,125 $ ( 7,872 ) $ 51,744 $ ( 121,858 ) $ 28,351 $ ( 27,930 ) $ ( 121,437 ) 11 The following table presents other comprehensive income activity, the impact on net income of amounts reclassified from each component of AOCI, and the related tax impact for the three months ended March 31, 2021 and 2020: Table 1.4 For the Three Months Ended March 31, 2021 March 31, 2020 Before Tax Provision (Benefit) After Tax Before Tax Provision (Benefit) After Tax (in thousands) Other comprehensive income: Available-for-sale-securities: Unrealized holding gains/(losses) on available-for-sale securities $ 67,356 $ 14,145 $ 53,211 $ ( 98,334 ) $ ( 20,649 ) $ ( 77,685 ) Less reclassification adjustments included in: Net interest income (1) ( 984 ) ( 207 ) ( 777 ) ( 969 ) ( 203 ) ( 766 ) Other income (2) ( 8 ) ( 2 ) ( 6 ) ( 13 ) ( 3 ) ( 10 ) Total $ 66,364 $ 13,936 $ 52,428 $ ( 99,316 ) $ ( 20,855 ) $ ( 78,461 ) Held-to-maturity securities: Less reclassification adjustments included in: Net interest income (3) ( 2,157 ) ( 453 ) ( 1,704 ) ( 5,688 ) ( 1,194 ) ( 4,494 ) Total $ ( 2,157 ) $ ( 453 ) $ ( 1,704 ) $ ( 5,688 ) $ ( 1,194 ) $ ( 4,494 ) Cash flow hedges Unrealized gains/(losses) on cash flow hedges $ 17,170 $ 3,608 $ 13,562 $ ( 28,695 ) $ ( 6,027 ) $ ( 22,668 ) Less reclassification adjustments included in: Net interest income (4) 1,746 365 1,381 439 92 347 Total $ 18,916 $ 3,973 $ 14,943 $ ( 28,256 ) $ ( 5,935 ) $ ( 22,321 ) Other comprehensive income/(loss) $ 83,123 $ 17,456 $ 65,667 $ ( 133,260 ) $ ( 27,984 ) $ ( 105,276 ) (1) Relates to the amortization of unrealized gains on hedged items prior to the application of fair value hedge accounting. (2) Represents amortization of deferred gains related to certain available-for-sale USDA Securities and Farmer Mac Guaranteed USDA Securities. (3) Relates to the amortization of unrealized gains or losses prior to the reclassification of these securities from available-for-sale to held-to-maturity. The amortization of unrealized gains or losses reported in AOCI for held-to-maturity securities will be offset by the amortization of the premium or discount created from the transfer into held-to-maturity securities, which occurred at fair value. These unrealized gains or losses will be recorded over the remaining life of the security with no impact on future net income. (4) Relates to the recognition of unrealized gains and losses on cash flow hedges recorded in AOCI. 12 (c) New Accounting Standards Recently Adopted Accounting Guidance Standard Description Date of Adoption Effect on Consolidated Financial Statements ASU 2020-04 and 2021-01 , Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting The amendments in this Update provide optional guidance for a limited period of time to ease the potential burden in accounting for reference rate reform on financial reporting. They provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. January 1, 2020 Farmer Mac adopted optional expedients specific to discounting transition on a retrospective basis, and as a result of this election, the discounting transition did not have a material effect on Farmer Mac's financial position, results of operations, or cash flows. 2. INVESTMENT SECURITIES The following tables set forth information about Farmer Mac's available-for-sale and held-to-maturity investment securities as of March 31, 2021 and December 31, 2020: Table 2.1 As of March 31, 2021 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 $ ( 61 ) $ — $ ( 493 ) $ 19,146 Floating rate Government/GSE guaranteed mortgage-backed securities 2,378,471 ( 35 ) 2,378,436 — 12,059 ( 2,937 ) 2,387,558 Fixed rate GSE guaranteed mortgage-backed securities 179 — 179 — 22 — 201 Fixed rate U.S. Treasuries 1,388,408 13,814 1,402,222 — 554 ( 49 ) 1,402,727 Total available-for-sale 3,786,758 13,779 3,800,537 ( 61 ) 12,635 ( 3,479 ) 3,809,632 Held-to-maturity: Floating rate Government/GSE guaranteed mortgage-backed securities (3) 45,032 — 45,032 — 1,552 — 46,584 Total held-to-maturity $ 45,032 $ — $ 45,032 $ — $ 1,552 $ — $ 46,584 (1) Amounts presented exclude $ 6.4 million of accrued interest receivable on investment securities as of March 31, 2021. (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 March 31, 2021. 13 As of December 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 $ ( 36 ) $ — $ ( 493 ) $ 19,171 Floating rate asset-backed securities 6,232 — 6,232 — — ( 1 ) 6,231 Floating rate Government/GSE guaranteed mortgage-backed securities 2,350,963 ( 44 ) 2,350,919 — 12,150 ( 3,043 ) 2,360,026 Fixed rate GSE guaranteed mortgage-backed securities 279 — 279 — 34 — 313 Fixed rate U.S. Treasuries 1,449,408 17,128 1,466,536 — 1,458 ( 43 ) 1,467,951 Total available-for-sale 3,826,582 17,084 3,843,666 ( 36 ) 13,642 ( 3,580 ) 3,853,692 Held-to-maturity: Floating rate Government/GSE guaranteed mortgage-backed securities (3) 45,032 — 45,032 — 1,201 — 46,233 Total held-to-maturity $ 45,032 $ — $ 45,032 $ — $ 1,201 $ — $ 46,233 (1) Amounts presented exclude $ 9.0 million of accrued interest receivable on investment securities as of December 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 1.5 % as of December 31, 2020. Farmer Mac did not sell any securities from its available-for-sale investment portfolio during the three months ended March 31, 2021 and 2020. As of March 31, 2021 and December 31, 2020, unrealized losses on available-for-sale investment securities were as follows: Table 2.2 As of March 31, 2021 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 $ — $ — $ 19,146 $ ( 493 ) Floating rate Government/GSE guaranteed mortgage-backed securities 142,747 ( 434 ) 293,876 ( 2,503 ) Fixed rate U.S. Treasuries 278,420 ( 49 ) — — Total $ 421,167 $ ( 483 ) $ 313,022 $ ( 2,996 ) Number of securities in loss position 27 55 14 As of December 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 $ — $ — $ 19,171 $ ( 493 ) Floating rate asset-backed securities — — 6,231 ( 1 ) Floating rate Government/GSE guaranteed mortgage-backed securities 172,842 ( 593 ) 324,423 ( 2,450 ) Fixed rate U.S. Treasuries 364,320 ( 43 ) — — Total $ 537,162 $ ( 636 ) $ 349,825 $ ( 2,944 ) Number of securities in loss position 27 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, 2021 and December 31, 2020, 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, 2021 and December 31, 2020, 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, 2021 that is, on average, approximately 99.1 % 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, 2021 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, 2021 Available-for-Sale Securities Amortized Cost Fair Value Weighted- Average Yield (dollars in thousands) Due within one year $ 1,085,097 $ 1,085,613 1.90 % Due after one year through five years 693,669 694,736 0.77 % Due after five years through ten years 1,205,894 1,212,911 0.56 % Due after ten years 815,877 816,372 0.63 % Total $ 3,800,537 $ 3,809,632 1.00 % 15 3. 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, 2021 and December 31, 2020: Table 3.1 As of March 31, 2021 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 $ 1,126,914 $ ( 27 ) $ 1,126,887 $ ( 223 ) $ 18,994 $ ( 5,129 ) $ 1,140,529 Farmer Mac Guaranteed USDA Securities 32,050 78 32,128 — 1,385 — 33,513 Total Farmer Mac Guaranteed Securities 1,158,964 51 1,159,015 ( 223 ) 20,379 ( 5,129 ) 1,174,042 USDA Securities 2,464,803 24,697 2,489,500 — 129,775 ( 397 ) 2,618,878 Total held-to-maturity $ 3,623,767 $ 24,748 $ 3,648,515 $ ( 223 ) $ 150,154 $ ( 5,526 ) $ 3,792,920 Available-for-sale: AgVantage $ 6,510,351 $ 1,425 $ 6,511,776 $ ( 127 ) $ 261,178 $ ( 9,618 ) $ 6,763,209 Trading: USDA Securities (3) $ 5,344 $ 165 $ 5,509 $ — $ 72 $ ( 3 ) $ 5,578 (1) Amounts presented exclude $ 32.1 million, $ 36.9 million, and $ 0.1 million of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of March 31, 2021. (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 5.03 % as of March 31, 2021. As of December 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 $ 1,141,430 $ ( 55 ) $ 1,141,375 $ ( 120 ) $ 23,986 $ ( 61 ) $ 1,165,180 Farmer Mac Guaranteed USDA Securities 34,456 81 34,537 — 1,273 — 35,810 Total Farmer Mac Guaranteed Securities 1,175,886 26 1,175,912 ( 120 ) 25,259 ( 61 ) 1,200,990 USDA Securities 2,446,550 27,076 2,473,626 — 157,748 ( 560 ) 2,630,814 Total held-to-maturity $ 3,622,436 $ 27,102 $ 3,649,538 $ ( 120 ) $ 183,007 $ ( 621 ) $ 3,831,804 Available-for-sale: AgVantage $ 6,593,518 $ 1,474 $ 6,594,992 $ ( 310 ) $ 368,257 $ ( 15,238 ) $ 6,947,701 Trading: USDA Securities (3) $ 6,413 $ 198 $ 6,611 $ — $ 84 $ — $ 6,695 (1) Amounts presented exclude $ 32.3 million, $ 44.7 million, and $ 0.2 million of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of December 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 5.05 % as of December 31, 2020. 16 As of March 31, 2021 and December 31, 2020, 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, 2021 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 $ 269,871 $ ( 5,129 ) $ — $ — Farmer Mac Guaranteed USDA Securities — — — — USDA Securities — — 18,024 ( 397 ) Total held-to-maturity $ 269,871 $ ( 5,129 ) $ 18,024 $ ( 397 ) Available-for-sale: AgVantage $ 225,079 $ ( 8,801 ) $ 204,183 $ ( 817 ) As of December 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: AgVantage $ 49,939 $ ( 61 ) $ — $ — Farmer Mac Guaranteed USDA Securities — — — — USDA Securities — — 21,061 ( 560 ) Total held-to-maturity $ 49,939 $ ( 61 ) $ 21,061 $ ( 560 ) Available-for-sale: AgVantage $ 133,703 $ ( 231 ) $ 981,757 $ ( 15,007 ) The unrealized losses presented above are principally due to changes in interest rates from the date of acquisition to March 31, 2021 and December 31, 2020, as applicable. The unrealized losses on the held-to-maturity USDA Securities as of both March 31, 2021 and December 31, 2020 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 of America. The unrealized losses from AgVantage securities were on 7 and 11 available-for-sale securities as of March 31, 2021 and December 31, 2020, respectively. There were 4 and 2 held-to-maturity AgVantage securities with an unrealized loss as of March 31, 2021 and December 31, 2020, respectively. As of 17 March 31, 2021 and December 31, 2020, 2 and 7 available-for-sale AgVantage securities, respectively, had been in a loss position for more than 12 months. During the three months ended March 31, 2021 and 2020, 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, 2021 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, 2021 Available-for-Sale Securities Amortized Cost (1) Fair Value Weighted- Average Yield (dollars in thousands) Due within one year $ 1,289,615 $ 1,293,004 1.43 % Due after one year through five years 2,992,792 3,122,713 2.40 % Due after five years through ten years 986,013 1,058,037 2.31 % Due after ten years 1,243,356 1,289,455 2.75 % Total $ 6,511,776 $ 6,763,209 2.28 % (1) Amounts presented exclude $ 32.1 million of accrued interest receivable. As of March 31, 2021 Held-to-Maturity Securities Amortized Cost (1) Fair Value Weighted- Average Yield (dollars in thousands) Due within one year $ 374,093 $ 376,290 2.77 % Due after one year through five years 812,373 825,702 2.55 % Due after five years through ten years 260,383 272,256 2.79 % Due after ten years 2,201,666 2,318,672 3.13 % Total $ 3,648,515 $ 3,792,920 2.92 % (1) Amounts presented exclude $ 36.9 million of accrued interest receivable. 4. FINANCIAL DERIVATIVES Farmer Mac enters into financial derivative transactions to protect against risk from the effects of market price, or interest rate movements, on the value of certain assets, future cash flows, or debt issuance, and not for trading or speculative purposes. For more information about Farmer Mac's financial derivatives, see Note 6 in Farmer Mac's Annual Report on Form 10-K for the fiscal year ended December 31, 2020, as filed with the SEC on February 25, 2021. 18 The following tables summarize information related to Farmer Mac's financial derivatives on a gross basis without giving consideration to master netting arrangements as of March 31, 2021 and December 31, 2020: Table 4.1 As of March 31, 2021 Fair Value Weighted- Average Pay Rate Weighted- Average Receive Rate Weighted- Average Forward Price Weighted- Average Remaining Term (in years) Notional Amount Asset (Liability) (dollars in thousands) Fair value hedges: Interest rate swaps: Pay fixed non-callable $ 5,457,191 $ 7,832 $ ( 1,517 ) 2.25 % 0.19 % 11.99 Receive fixed non-callable 3,587,529 76 ( 11,143 ) 0.25 % 1.21 % 2.26 Receive fixed callable 601,577 2,055 ( 4,712 ) 0.07 % 0.86 % 4.35 Cash flow hedges: Interest rate swaps: Pay fixed non-callable 472,000 7,483 ( 4,022 ) 2.04 % 0.54 % 5.80 No hedge designation: Interest rate swaps: Pay fixed non-callable 338,951 — ( 6,829 ) 2.38 % 0.18 % 3.98 Receive fixed non-callable 2,258,220 — — 0.14 % 0.70 % 0.90 Receive fixed callable 100,000 — — 0.15 % 0.15 % 0.50 Basis swaps 2,883,911 978 ( 143 ) 0.15 % 0.19 % 2.33 Treasury futures 12,300 20 — 131.10 Credit valuation adjustment ( 74 ) 21 Total financial derivatives $ 15,711,679 $ 18,370 $ ( 28,345 ) Collateral (held)/pledged ( 4,917 ) 198,159 Net amount $ 13,453 $ 169,814 19 As of December 31, 2020 Fair Value Weighted- Average Pay Rate Weighted- Average Receive Rate Weighted- Average Forward Price Weighted- Average Remaining Term (in years) Notional Amount Asset (Liability) (dollars in thousands) Fair value hedges: Interest rate swaps: Pay fixed non-callable $ 5,463,303 $ 10,157 $ ( 2,585 ) 2.26 % 0.21 % 11.95 Receive fixed non-callable 2,611,029 2 ( 8,755 ) 0.32 % 1.61 % 2.10 Receive fixed callable 343,500 3,108 ( 4 ) 0.16 % 1.78 % 3.16 Cash flow hedges: Interest rate swaps: Pay fixed non-callable 472,000 2,584 ( 8,771 ) 2.04 % 0.57 % 6.04 No hedge designation: Interest rate swaps: Pay fixed non-callable 339,090 — ( 9,675 ) 2.38 % 0.19 % 4.23 Receive fixed non-callable 2,359,220 — — 0.16 % 0.87 % 1.07 Receive fixed callable 200,000 1 ( 12 ) 0.13 % 0.15 % 0.72 Basis swaps 3,628,911 1,617 ( 43 ) 0.18 % 0.23 % 2.03 Treasury futures 30,500 — ( 82 ) 137.81 Credit valuation adjustment ( 1 ) 35 Total financial derivatives $ 15,447,553 $ 17,468 $ ( 29,892 ) Collateral (held)/pledged ( 1,345 ) 212,263 Net amount $ 16,123 $ 182,371 As of March 31, 2021, Farmer Mac expects to reclassify $ 5.2 million after tax from accumulated other comprehensive income to earnings over the next twelve months. This amount could differ from amounts actually recognized due to changes in interest rates, hedge de-designations, and the addition of other hedges after March 31, 2021. During the three months ended March 31, 2021 and 2020, there were no gains or losses from interest rate swaps designated as cash flow hedges reclassified to earnings because it was probable that the originally forecasted transactions would occur. 20 The following table summarizes the net income/(expense) recognized in the consolidated statements of operations related to derivatives for the three months ended March 31, 2021 and 2020: Table 4.2 For the Three Months Ended March 31, 2021 Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives Net Interest Income Non-Interest Income Total Interest Income Farmer Mac Guaranteed Securities and USDA Securities Interest Income Loans Total Interest Expense Gains on financial derivatives (in thousands) Total amounts presented in the consolidated statement of operations $ 42,404 $ 59,494 $ ( 54,176 ) $ 4,293 $ 52,015 Income/(expense) related to interest settlements on fair value hedging relationships: Recognized on derivatives ( 21,437 ) ( 6,572 ) 9,481 — ( 18,528 ) Recognized on hedged items 30,775 11,487 ( 11,808 ) — 30,454 Discount amortization recognized on hedged items — — ( 221 ) — ( 221 ) Income/(expense) related to interest settlements on fair value hedging relationships $ 9,338 $ 4,915 $ ( 2,548 ) $ — $ 11,705 (Losses)/gains on fair value hedging relationships: Recognized on derivatives $ 168,078 $ 145,771 $ ( 29,455 ) $ — $ 284,394 Recognized on hedged items ( 168,801 ) ( 144,749 ) 29,501 — ( 284,049 ) (Losses)/gains on fair value hedging relationships $ ( 723 ) $ 1,022 $ 46 $ — $ 345 Expense related to interest settlements on cash flow hedging relationships: Interest settlements reclassified from AOCI into net income on derivatives $ — $ — $ ( 1,746 ) $ — $ ( 1,746 ) Recognized on hedged items — — ( 655 ) — ( 655 ) Discount amortization recognized on hedged items — — ( 7 ) — ( 7 ) Expense recognized on cash flow hedges $ — $ — $ ( 2,408 ) $ — $ ( 2,408 ) Gains on financial derivatives not designated in hedging relationships: Gains on interest rate swaps $ — $ — $ — $ 1,470 $ 1,470 Interest expense on interest rate swaps — — — 2,223 2,223 Treasury futures — — — 600 600 Gains on financial derivatives not designated in hedge relationships $ — $ — $ — $ 4,293 $ 4,293 21 For The Three Months Ended March 31, 2020 Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives Net Interest Income Non-Interest Income Total Interest Income Farmer Mac Guaranteed Securities and USDA Securities Interest Income Loans Total Interest Expense Losses on financial derivatives (in thousands) Total amounts presented in the consolidated statement of operations: $ 71,517 $ 60,596 $ ( 108,542 ) $ ( 9,298 ) $ 14,273 Income/(expense) related to interest settlements on fair value hedging relationships: Recognized on derivatives ( 6,152 ) ( 1,877 ) 1,634 — ( 6,395 ) Recognized on hedged items 31,826 8,677 ( 14,276 ) — 26,227 Discount amortization recognized on hedged items — — ( 180 ) — ( 180 ) Income/(expense) related to interest settlements on fair value hedging relationships $ 25,674 $ 6,800 $ ( 12,822 ) $ — $ 19,652 (Losses)/gains on fair value hedging relationships: Recognized on derivatives $ ( 293,932 ) $ ( 145,906 ) $ 58,934 $ — $ ( 380,904 ) Recognized on hedged items 290,379 145,409 ( 60,565 ) — 375,223 (Losses)/gains on fair value hedging relationships $ ( 3,553 ) $ ( 497 ) $ ( 1,631 ) $ — $ ( 5,681 ) Expense related to interest settlements on cash flow hedging relationships: Interest settlements reclassified from AOCI into net income on derivatives $ — $ — $ ( 439 ) $ — $ ( 439 ) Recognized on hedged items — — ( 2,123 ) — ( 2,123 ) Discount amortization recognized on hedged items — — ( 1 ) — ( 1 ) Expense recognized on cash flow hedges $ — $ — $ ( 2,563 ) $ — $ ( 2,563 ) Losses on financial derivatives not designated in hedge relationships: Losses on interest rate swaps $ — $ — $ — $ ( 6,550 ) $ ( 6,550 ) Interest expense on interest rate swaps — — — ( 862 ) ( 862 ) Treasury futures — — — ( 1,886 ) ( 1,886 ) Losses on financial derivatives not designated in hedge relationships $ — $ — $ — $ ( 9,298 ) $ ( 9,298 ) 22 The following table shows the carrying amount and associated cumulative basis adjustment related to the application of hedge accounting that is included in the carrying amount of hedged assets and liabilities in fair value hedging relationships as of March 31, 2021 and December 31, 2020: Table 4.3 Hedged Items in Fair Value Relationship Carrying Amount of Hedged Assets/(Liabilities) Cumulative Amount of Fair Value Hedging Adjustments included in the Carrying Amount of the Hedged Assets/(Liabilities) March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 (in thousands) Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value (1) $ 4,113,973 $ 4,244,027 $ 214,023 $ 382,825 Loans held for investment, at amortized cost (2) 1,547,825 1,692,609 ( 33,416 ) 111,333 Notes Payable (3) ( 3,986,760 ) ( 3,006,140 ) ( 23,739 ) ( 53,240 ) (1) Includes $ 1.5 million and $1.6 million of hedging adjustments on discontinued hedging relationships as of March 31, 2021 and December 31, 2020, respectively. (2) Includes $ 1.3 million and $1.4 million of hedging adjustments on a discontinued hedging relationship as of March 31, 2021 and December 31, 2020, respectively. (3) Carrying amount represents amortized cost. The following table shows Farmer Mac's credit exposure to interest rate swap counterparties as of March 31, 2021 and December 31, 2020: Table 4.4 March 31, 2021 Gross Amount Recognized (1) Counterparty Netting Net Amount Presented in the Consolidated Balance Sheet (in thousands) Assets: Derivatives Interest rate swap $ 168,741 $ 165,060 $ 3,681 Liabilities: Derivatives Interest rate swap $ 368,135 $ 368,063 $ 72 (1) Gross amount excludes netting arrangements and any adjustment for nonperformance risk, but includes accrued interest. December 31, 2020 Gross Amount Recognized (1) Counterparty Netting Net Amount Presented in the Consolidated Balance Sheet (in thousands) Assets: Derivatives Interest rate swaps $ 112,287 $ 111,761 $ 526 Liabilities: Derivatives Interest rate swaps $ 620,236 $ 595,867 $ 24,369 (1) Gross amount excludes netting arrangements and any adjustment for nonperformance risk, but includes accrued interest. 23 As of March 31, 2021, Farmer Mac held $ 4.9 million of cash and no investment securities as collateral for its derivatives in net asset positions, compared to $ 1.3 million of cash and no investment securities as collateral for its derivatives in net asset positions as of December 31, 2020. Farmer Mac posted $ 8.2 million cash and $ 190.0 million of investment securities as of March 31, 2021 and posted $ 11.2 million cash and $ 201.1 million investment securities as of December 31, 2020. Farmer Mac records posted cash as a reduction in the outstanding balance of cash and cash equivalents and an increase in the balance of prepaid expenses and other assets. Any investment securities posted as collateral are included in the investment securities balances on the consolidated balance sheets. If Farmer Mac had breached certain provisions of the derivative contracts as of March 31, 2021 and December 31, 2020, it could have been required to settle its obligations under the agreements, but would not have been required to post additional collateral. As of March 31, 2021 and December 31, 2020, there were no financial derivatives in a net payable position where Farmer Mac was required to pledge collateral which the counterparty had the right to sell or repledge. Of Farmer Mac's $ 15.7 billion notional amount of interest rate swaps outstanding as of March 31, 2021, $ 13.5 billion were cleared through the swap clearinghouse, the Chicago Mercantile Exchange ("CME"). Of Farmer Mac's $ 15.4 billion notional amount of interest rate swaps outstanding as of December 31, 2020, $ 12.8 billion were cleared through the CME. During first quarter 2021, Farmer Mac continued the use of non-cleared basis swaps to prepare for the transition away from the use of LIBOR as a reference rate. 5. LOANS Farmer Mac classifies loans as either held for investment or held for sale. Loans held for investment are recorded at the unpaid principal balance, net of unamortized premium or discount and other cost basis adjustments. Loans held for sale are reported at the lower of cost or fair value determined on a pooled basis. As of both March 31, 2021, and December 31, 2020, Farmer Mac had no loans held for sale. The following table includes loans held for investment and displays the composition of the loan balances as of March 31, 2021 and December 31, 2020: Table 5.1 As of March 31, 2021 As of December 31, 2020 Unsecuritized In Consolidated Trusts Total Unsecuritized In Consolidated Trusts Total (in thousands) Farm & Ranch $ 5,128,442 $ 1,174,525 $ 6,302,967 $ 4,889,393 $ 1,287,045 $ 6,176,438 Rural Utilities 2,247,104 — 2,247,104 2,260,412 — 2,260,412 Total unpaid principal balance (1) 7,375,546 1,174,525 8,550,071 7,149,805 1,287,045 8,436,850 Unamortized premiums, discounts, fair value hedge basis adjustment, and other cost basis adjustments ( 33,634 ) — ( 33,634 ) 112,128 — 112,128 Total loans 7,341,912 1,174,525 8,516,437 7,261,933 1,287,045 8,548,978 Allowance for losses ( 14,021 ) ( 786 ) ( 14,807 ) ( 12,943 ) ( 889 ) ( 13,832 ) Total loans, net of allowance $ 7,327,891 $ 1,173,739 $ 8,501,630 $ 7,248,990 $ 1,286,156 $ 8,535,146 (1) Unpaid principal balance is the basis of presentation in disclosures of outstanding balances for Farmer Mac's lines of business. 24 Allowance for Losses The following table is a summary, by asset type, of the allowance for losses as of March 31, 2021 and December 31, 2020: Table 5.2 March 31, 2021 December 31, 2020 Allowance for Losses Allowance for Losses (in thousands) Loans: Farm & Ranch $ 3,718 $ 3,745 Rural Utilities 11,089 10,087 Total $ 14,807 $ 13,832 The following is a summary of the changes in the allowance for losses for the three month period ended March 31, 2021 and 2020: Table 5.3 For the Three Months Ended March 31, 2021 March 31, 2020 Allowance for Losses Allowance for Losses (in thousands) Farm & Ranch: Balance as of December 31 $ 3,745 $ 10,454 Cumulative effect adjustment from adoption of current expected credit loss standard — ( 3,909 ) Balance as of January 1 3,745 6,545 (Release of)/provision for losses $ ( 27 ) $ 808 Charge-offs — — Ending Balance (1) $ 3,718 $ 7,353 Rural Utilities: Balance as of December 31 $ 10,087 $ — Cumulative effect adjustment from adoption of current expected credit loss standard — 5,378 Balance as of January 1 10,087 5,378 Provision for losses $ 1,002 $ 2,125 Charge-offs — — Ending Balance (2) $ 11,089 $ 7,503 (1) As of March 31, 2021 and 2020, allowance for losses for Farm & Ranch includes no allowance and $ 2.2 million, respectively, for collateral dependent assets secured by agricultural real estate. (2) As of both March 31, 2021 and 2020, allowance for losses for Rural Utilities includes no allowance for collateral dependent assets. The provision to the allowance for Rural Utilities loan losses of $ 1.0 million recorded during first quarter 2021 was primarily attributable to the impact of ratings downgrades on multiple rural utilities that were negatively impacted by the polar vortex that struck Texas in February 2021. The small release from the allowance for the Farm & Ranch portfolio during first quarter 2021 was primarily attributable to ratings upgrades and updated loss-given-default assumptions, offset by net growth in our loan portfolio. The provision to the allowance for loan losses recorded during first quarter 2020 was primarily due to the impact of updated economic factor forecasts, particularly higher credit spreads and expected higher 25 unemployment, as a result of the COVID-19 pandemic and the resulting economic volatility. In addition, economic factor forecasts for lower commodity prices impacted the Farm & Ranch portfolio. The following table presents the unpaid principal balances by delinquency status of Farmer Mac's loans and non-performing assets as of March 31, 2021 and December 31, 2020: Table 5.4 As of March 31, 2021 Accruing Current 30-59 Days 60-89 Days 90 Days and Greater (2) Total Past Due Nonaccrual loans (3)(4) Total Loans (in thousands) Loans (1) : Farm & Ranch $ 6,154,416 $ 4,733 $ 261 $ 14,150 $ 19,144 $ 129,407 $ 6,302,967 Rural Utilities 2,247,104 — — — — — 2,247,104 Total $ 8,401,520 $ 4,733 $ 261 $ 14,150 $ 19,144 $ 129,407 $ 8,550,071 (1) Amounts represent unpaid principal balance of risk rated loans, which is the basis Farmer Mac uses to analyze its portfolio, and recorded investment of past due loans. (2) Includes loans in consolidated trusts with beneficial interests owned by third parties that are 90 days or more past due. (3) Includes loans that are 90 days or more past due, in foreclosure, or in bankruptcy with at least one missed payment, excluding loans performing under either their original loan terms or a court-approved bankruptcy plan. (4) Includes $ 58.1 million of nonaccrual loans for which there was no associated allowance. During the three months ended March 31, 2021, Farmer Mac received $ 1.1 million in interest on nonaccrual loans. As of December 31, 2020 Accruing Current 30-59 Days 60-89 Days 90 Days and Greater (2) Total Past Due Nonaccrual loans (3)(4) Total Loans (in thousands) Loans (1) : Farm & Ranch $ 6,055,154 $ 4,582 $ 632 $ 1,072 $ 6,286 $ 114,998 $ 6,176,438 Rural Utilities 2,260,412 — — — — — 2,260,412 Total $ 8,315,566 $ 4,582 $ 632 $ 1,072 $ 6,286 $ 114,998 $ 8,436,850 (1) Amounts represent unpaid principal balance of risk rated loans, which is the basis Farmer Mac uses to analyze its portfolio, and recorded investment of past due loans. (2) Includes loans in consolidated trusts with beneficial interests owned by third parties that are 90 days or more past due. (3) Includes loans that are 90 days or more past due, in foreclosure, or in bankruptcy with at least one missed payment, excluding loans performing under either their original loan terms or a court-approved bankruptcy plan. (4) Includes $ 44.2 million of nonaccrual loans for which there was no associated allowance. During the year ended December 31, 2020, Farmer Mac received $ 4.4 million in interest on nonaccrual loans. 26 Credit Quality Indicators The following tables present credit quality indicators related to Farm & Ranch loans and Rural Utilities loans held as of March 31, 2021 and December 31, 2020, by year of origination: Table 5.5 As of March 31, 2021 Year of Origination: 2021 2020 2019 2018 2017 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Farm & Ranch (1) : Internally Assigned Risk Rating: Acceptable $ 542,638 $ 1,923,390 $ 724,202 $ 443,929 $ 399,931 $ 1,334,771 $ 482,993 $ 5,851,854 Special mention (2) 16,079 102,656 56,723 16,292 2,569 23,003 11,804 229,126 Substandard (3) — 3,655 25,027 28,825 57,791 94,565 12,124 221,987 Total $ 558,717 $ 2,029,701 $ 805,952 $ 489,046 $ 460,291 $ 1,452,339 $ 506,921 $ 6,302,967 For the Three Months Ended March 31, 2021: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — Current period recoveries — — — — — — — — Current period Farm & Ranch net charge-offs $ — $ — $ — $ — $ — $ — $ — $ — (1) Amounts represent unpaid principal balance of risk-rated loans, which is the basis Farmer Mac uses to analyze its portfolio, and recorded investment of past due loans. (2) Assets in the "Special mention" category generally have potential weaknesses due to performance issues but are currently considered to be adequately secured. (3) Substandard assets have a well-defined weakness or weaknesses and there is a distinct possibility that some loss will be sustained if deficiencies are not corrected. 27 As of March 31, 2021 Year of Origination: 2021 2020 2019 2018 2017 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Rural Utilities (1) : Internally Assigned Risk Rating: Acceptable $ 10,979 $ 639,730 $ 801,799 $ 8,181 $ 89,621 $ 650,486 $ 22,708 $ 2,223,504 Special mention (2) — 23,600 — — — — — 23,600 Substandard (3) — — — — — — — — Total $ 10,979 $ 663,330 $ 801,799 $ 8,181 $ 89,621 $ 650,486 $ 22,708 $ 2,247,104 For the Three Months Ended March 31, 2021: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — Current period recoveries — — — — — — — — Current period Rural Utilities net charge-offs $ — $ — $ — $ — $ — $ — $ — $ — (1) Amounts represent unpaid principal balance of risk-rated loans, which is the basis Farmer Mac uses to analyze its portfolio, and recorded investment of past due loans. (2) Assets in the "Special mention" category generally have potential weaknesses due to performance issues but are currently considered to be adequately secured. (3) Substandard assets have a well-defined weakness or weaknesses and there is a distinct possibility that some loss will be sustained if deficiencies are not corrected. As of December 31, 2020 Year of Origination: 2020 2019 2018 2017 2016 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Farm & Ranch (1) : Internally Assigned Risk Rating: Acceptable $ 1,947,618 $ 774,315 $ 484,345 $ 500,768 $ 465,277 $ 1,068,693 $ 535,742 $ 5,776,758 Special mention (2) 70,171 79,744 18,317 8,530 13,111 21,328 7,656 218,857 Substandard (3) 3,400 5,821 21,879 52,709 37,173 50,582 9,259 180,823 Total $ 2,021,189 $ 859,880 $ 524,541 $ 562,007 $ 515,561 $ 1,140,603 $ 552,657 $ 6,176,438 For the Three Months Ended March 31, 2020: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — Current period recoveries — — — — — — — — Current period Farm & Ranch net charge-offs $ — $ — $ — $ — $ — $ — $ — $ — (1) Amounts represent unpaid principal balance of risk-rated loans, which is the basis Farmer Mac uses to analyze its portfolio, and recorded investment of past due loans. (2) Assets in the "Special mention" category generally have potential weaknesses due to performance issues but are currently considered to be adequately secured. (3) Substandard assets have a well-defined weakness or weaknesses and there is a distinct possibility that some loss will be sustained if deficiencies are not corrected. 28 As of December 31, 2020 Year of Origination: 2020 2019 2018 2017 2016 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Rural Utilities (1) : Internally Assigned Risk Rating: Acceptable $ 667,489 $ 809,921 $ 8,260 $ 89,842 $ 31,275 $ 641,145 $ 12,480 $ 2,260,412 Special mention (2) — — — — — — — — Substandard (3) — — — — — — — — Total $ 667,489 $ 809,921 $ 8,260 $ 89,842 $ 31,275 $ 641,145 $ 12,480 $ 2,260,412 For the Three Months Ended March 31, 2020: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — Current period recoveries — — — — — — — — Current period Rural Utilities net charge-offs $ — $ — $ — $ — $ — $ — $ — $ — (1) Amounts represent unpaid principal balance of risk-rated loans, which is the basis Farmer Mac uses to analyze its portfolio, and recorded investment of past due loans. (2) Assets in the "Special mention" category generally have potential weaknesses due to performance issues but are currently considered to be adequately secured. (3) Substandard assets have a well-defined weakness or weaknesses and there is a distinct possibility that some loss will be sustained if deficiencies are not corrected. 6. GUARANTEES The following table presents the maximum principal amount of potential undiscounted future payments that Farmer Mac could be required to make under all off-balance sheet Farmer Mac Guaranteed Securities as of March 31, 2021 and December 31, 2020, not including offsets provided by any recourse provisions, recoveries from third parties, or collateral for the underlying loans: Table 6.1 Outstanding Balance of Off-Balance Sheet Farmer Mac Guaranteed Securities As of March 31, 2021 As of December 31, 2020 (in thousands) Farm & Ranch: Farmer Mac Guaranteed Securities $ 72,203 $ 79,312 USDA Guarantees: Farmer Mac Guaranteed USDA Securities 284,868 299,298 Institutional Credit: AgVantage Securities 4,412 4,412 Total off-balance sheet Farmer Mac Guaranteed Securities $ 361,483 $ 383,022 Eligible loans and other eligible assets may be placed into trusts that are used as vehicles for the securitization of the transferred assets and the Farmer Mac-guaranteed beneficial interests in the trusts are sold to investors. The following table summarizes the significant cash flows received from and paid to trusts used for Farmer Mac securitizations: 29 Table 6.2 For the Three Months Ended March 31, 2021 March 31, 2020 (in thousands) Proceeds from new securitizations $ 49,133 $ 28,050 Guarantee fees received 360 466 Farmer Mac presents a liability for its obligation to stand ready under its guarantee in "Guarantee and commitment obligation" on the consolidated balance sheets. The following table presents the liability and the weighted-average remaining maturity of all loans underlying off-balance sheet Farmer Mac Guaranteed Securities: Table 6.3 As of March 31, 2021 As of December 31, 2020 (dollars in thousands) Guarantee and commitment obligation $ 1,492 $ 1,625 Weighted average remaining maturity: Farmer Mac Guaranteed Securities 9.5 years 9.5 years AgVantage Securities 3.7 years 4.0 years Long-Term Standby Purchase Commitments Farmer Mac has recorded a liability for its obligation to stand ready under the guarantee in the guarantee and commitment obligation on the consolidated balance sheets. The following table presents the liability, the maximum principal amount of potential undiscounted future payments that Farmer Mac could be requested to make under all LTSPCs, not including offsets provided by any recourse provisions, recoveries from third parties, or collateral for the underlying loans, as well as the weighted-average remaining maturity of all loans underlying LTSPCs: Table 6.4 As of March 31, 2021 As of December 31, 2020 (dollars in thousands) Guarantee and commitment obligation (1) $ 32,910 $ 33,909 Maximum principal amount 2,811,515 2,881,856 Weighted-average remaining maturity 15.4 years 15.3 years (1) Relates to LTSPCs issued or modified on or after January 1, 2003. 30 Reserve for Losses The following table is a summary, by asset type, of the reserve for losses as of March 31, 2021 and December 31, 2020: Table 6.5 March 31, 2021 December 31, 2020 Reserve for Losses Reserve for Losses (in thousands) Farm & Ranch: LTSPCs and Farmer Mac Guaranteed Securities $ 1,366 $ 2,097 Rural Utilities LTSPCs 967 1,180 Total $ 2,333 $ 3,277 The following is a summary of the changes in the reserve for losses for the three month period ended March 31, 2021 and 2020: Table 6.6 For the Three Months Ended March 31, 2021 March 31, 2020 Reserve for Losses Reserve for Losses (in thousands) Farm & Ranch: Balance as of December 31, $ 2,097 $ 2,164 Cumulative effect adjustment from adoption of current expected credit loss standard — ( 148 ) Adjusted Beginning Balance 2,097 2,016 (Release of)/provision for losses $ ( 731 ) $ 4 Charge-offs — — Ending Balance $ 1,366 $ 2,020 Rural Utilities: Balance as of December 31, $ 1,180 $ — Cumulative effect adjustment from adoption of current expected credit loss standard — 1,011 Adjusted Beginning Balance 1,180 1,011 (Release of)/provision for losses $ ( 213 ) $ 389 Charge-offs — — Ending Balance $ 967 $ 1,400 The release from the reserve for losses in the Rural Utilities LTSPC portfolio recorded during first quarter 2021 was primarily due to improving economic factor forecasts and ratings upgrades. The release in the Farm & Ranch LTSPC portfolio was primarily due to ratings upgrades and updated loss-given-default assumptions. The provision to the reserve for losses recorded during first quarter 2020 was primarily due to the impact of economic factor forecasts, particularly higher credit spreads and expected higher unemployment, as a result of the COVID-19 pandemic and the resulting economic volatility. 31 The following table presents the unpaid principal balances by delinquency status of Farm & Ranch loans underlying LTSPCs. Farm & Ranch Farmer Mac Guaranteed Securities, Rural Utilities loans underlying LTSPCs, and non-performing assets as of March 31, 2021: Table 6.7 As of March 31, 2021 Current 30-59 Days 60-89 Days 90 Days and Greater (1) Total Past Due Total Loans (in thousands) Farm and Ranch: LTSPCs and Farmer Mac Guaranteed Securities $ 2,315,243 $ 3,901 $ 332 $ 6,909 $ 11,142 $ 2,326,385 Rural Utilities: LTSPCs $ 557,333 $ — $ — $ — $ — $ 557,333 (1) Includes loans underlying off-balance sheet Farm & Ranch Guaranteed Securities and LTSPCs that are 90 days of more past due, in foreclosure, or in bankruptcy with at least one missed payment, excluding loans performing under either their original loan terms or a court-approved bankruptcy plan. As of December 31, 2020 Current 30-59 Days 60-89 Days 90 Days and Greater (1) Total Past Due Total Loans (in thousands) Farm and Ranch: LTSPCs and Farmer Mac Guaranteed Securities $ 2,389,777 $ 2,189 $ 1,344 $ 11,433 $ 14,966 $ 2,404,743 Rural Utilities: LTSPCs $ 556,425 $ — $ — $ — $ — $ 556,425 (1) Includes loans underlying off-balance sheet Farm & Ranch Guaranteed Securities and LTSPCs that are 90 days of more past due, in foreclosure, or in bankruptcy with at least one missed payment, excluding loans performing under either their original loan terms or a court-approved bankruptcy plan. Credit Quality Indicators The following tables present credit quality indicators related to Farm & Ranch loans underlying LTSPCs, Farm & Ranch Farmer Mac Guaranteed Securities, and Rural Utilities loans underlying LTSPCs as of March 31, 2021 and December 31, 2020, by year of origination: 32 Table 6.8 As of March 31, 2021 Year of Origination: 2021 2020 2019 2018 2017 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Farm & Ranch LTSPCs and Farmer Mac Guaranteed Securities: Internally Assigned Risk Rating: Acceptable $ 83,222 $ 181,684 $ 193,825 $ 178,134 $ 222,030 $ 1,071,479 $ 205,814 $ 2,136,188 Special mention (1) — 12,020 1,727 1,493 436 62,767 12,080 90,523 Substandard (2) — 242 736 12,335 14,415 67,712 4,234 99,674 Total $ 83,222 $ 193,946 $ 196,288 $ 191,962 $ 236,881 $ 1,201,958 $ 222,128 $ 2,326,385 For the Three Months Ended March 31, 2021: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — Current period recoveries — — — — — — — — Current period Farm & Ranch net charge-offs $ — $ — $ — $ — $ — $ — $ — $ — (1) Assets in the "Special mention" category generally have potential weaknesses due to performance issues but are currently considered to be adequately secured. (2) Substandard assets have a well-defined weakness or weaknesses and there is a distinct possibility that some loss will be sustained if deficiencies are not corrected. As of March 31, 2021 Year of Origination: 2021 2020 20 2019 2018 2017 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Rural Utilities LTSPCs: Internally Assigned Risk Rating: Acceptable $ — $ — $ — $ — $ — $ 538,541 $ 18,792 $ 557,333 Special mention (1) — — — — — — — — Substandard (2) — — — — — — — — Total $ — $ — $ — $ — $ — $ 538,541 $ 18,792 $ 557,333 For the Three Months Ended March 31, 2021: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — Current period recoveries — — — — — — — — Current period Rural Utilities net charge-offs $ — $ — $ — $ — $ — $ — $ — $ — (1) Assets in the "Special mention" category generally have potential weaknesses due to performance issues but are currently considered to be adequately secured. (2) Substandard assets have a well-defined weakness or weaknesses and there is a distinct possibility that some loss will be sustained if deficiencies are not corrected. 33 As of December 31, 2020 Year of Origination: 2020 2019 2018 2017 2016 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Farm & Ranch LTSPCs and Farmer Mac Guaranteed Securities: Internally Assigned Risk Rating: Acceptable $ 178,213 $ 213,620 $ 183,948 $ 237,042 $ 207,296 $ 969,860 $ 211,620 $ 2,201,599 Special mention (1) 3,920 1,742 1,502 5,603 19,644 50,004 10,058 92,473 Substandard (2) 264 10,250 12,611 14,578 7,841 60,602 4,525 110,671 Total $ 182,397 $ 225,612 $ 198,061 $ 257,223 $ 234,781 $ 1,080,466 $ 226,203 $ 2,404,743 For the Three Months Ended March 31, 2020: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — Current period recoveries — — — — — — — — Current period Farm & Ranch net charge-offs $ — $ — $ — $ — $ — $ — $ — $ — (1) Assets in the "Special mention" category generally have potential weaknesses due to performance issues but are currently considered to be adequately secured. (2) Substandard assets have a well-defined weakness or weaknesses and there is a distinct possibility that some loss will be sustained if deficiencies are not corrected. As of December 31, 2020 Year of Origination: 2020 2019 2018 2017 2016 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Rural Utilities LTSPCs: Internally Assigned Risk Rating: Acceptable $ — $ — $ — $ — $ — $ 549,405 $ 7,020 $ 556,425 Special mention (1) — — — — — — — — Substandard (2) — — — — — — — — Total $ — $ — $ — $ — $ — $ 549,405 $ 7,020 $ 556,425 For the Three Months Ended March 31, 2020: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — Current period recoveries — — — — — — — — Current period Rural Utilities net charge-offs $ — $ — $ — $ — $ — $ — $ — $ — (1) Assets in the "Special mention" category generally have potential weaknesses due to performance issues but are currently considered to be adequately secured. (2) Substandard assets have a well-defined weakness or weaknesses and there is a distinct possibility that some loss will be sustained if deficiencies are not corrected. 34 7. NOTES PAYABLE Farmer Mac's borrowings consist of discount notes and medium-term notes, both of which are unsecured general obligations of Farmer Mac. Discount notes generally have original maturities of 1.0 year or less, whereas medium-term notes generally have maturities of 0.5 years to 15.0 years. The following tables set forth information related to Farmer Mac's borrowings as of March 31, 2021 and December 31, 2020: Table 7.1 March 31, 2021 Outstanding as of March 31 Average Outstanding During the Quarter Amount Weighted- Average Rate Amount Weighted- Average Rate (dollars in thousands) Due within one year: Discount notes $ 1,675,995 0.06 % $ 1,625,416 0.11 % Medium-term notes 2,514,691 0.14 % 2,725,057 0.16 % Current portion of medium-term notes 5,402,791 0.78 % Total due within one year $ 9,593,477 0.49 % Due after one year: Medium-term notes due in: Two years $ 2,912,497 0.96 % Three years 2,509,857 1.16 % Four years 1,308,945 1.25 % Five years 1,853,777 0.84 % Thereafter 3,358,018 1.81 % Total due after one year $ 11,943,094 1.25 % Total principal net of discounts $ 21,536,571 0.91 % Hedging adjustments 23,739 Total $ 21,560,310 35 December 31, 2020 Outstanding as of December 31 Average Outstanding During the Year Amount Weighted- Average Rate Amount Weighted- Average Rate (dollars in thousands) Due within one year: Discount notes $ 1,797,175 0.11 % $ 2,343,702 0.63 % Medium-term notes 2,645,146 0.19 % 1,593,253 0.60 % Current portion of medium-term notes 6,304,061 0.90 % Total due within one year $ 10,746,382 0.59 % Due after one year: Medium-term notes due in: Two years $ 3,004,203 1.00 % Three years 2,809,551 1.24 % Four years 927,119 1.67 % Five years 1,342,250 1.03 % Thereafter 2,966,172 1.92 % Total due after one year $ 11,049,295 1.37 % Total principal net of discounts $ 21,795,677 0.98 % Hedging adjustments 53,240 Total $ 21,848,917 The maximum amount of Farmer Mac's discount notes outstanding at any month end during the three months ended March 31, 2021 and 2020 was $ 1.8 billion and $ 2.6 billion, respectively. Callable medium-term notes give Farmer Mac the option to redeem the debt at par value on a specified call date or at any time on or after a specified call date. The following table summarizes by maturity date the amounts and costs for Farmer Mac debt callable in 2021 as of March 31, 2021: Table 7.2 Debt Callable in 2021 as of March 31, 2021, by Maturity Amount Weighted-Average Rate (dollars in thousands) Maturity: 2022 $ 350,449 0.27 % 2023 355,710 0.77 % 2024 119,413 1.09 % 2025 267,726 0.83 % Thereafter 788,996 1.44 % Total $ 1,882,294 0.98 % 36 The following schedule summarizes the earliest interest rate reset date, or debt maturities, of total borrowings outstanding as of March 31, 2021, including callable and non-callable medium-term notes, assuming callable notes are redeemed at the initial call date: Table 7.3 Earliest Interest Rate Reset Date, or Debt Maturities, of Borrowings Outstanding Amount Weighted-Average Rate (dollars in thousands) Debt with interest rate resets, or debt maturities in: 2021 $ 10,287,077 0.43 % 2022 2,719,969 1.06 % 2023 2,479,427 1.24 % 2024 1,247,008 1.28 % 2025 1,283,087 1.00 % Thereafter 3,520,003 1.82 % Total principal net of discounts $ 21,536,571 0.91 % During the three months ended March 31, 2021 and 2020, Farmer Mac called $ 1.0 billion and $ 0.8 billion of callable medium-term notes, respectively. Authority to Borrow from the U.S. Treasury Farmer Mac's statutory charter authorizes it, upon satisfying certain conditions, to borrow up to $ 1.5 billion from the U.S. Treasury through the issuance of debt obligations to the U.S. Treasury. Any funds borrowed from the U.S. Treasury may be used solely to fulfill Farmer Mac's guarantee obligations. Any debt obligations issued by Farmer Mac under this authority would bear interest at a rate determined by the U.S. Treasury, taking into consideration the average rate on outstanding marketable obligations of the United States as of the last day of the last calendar month ending before the date of the purchase of the obligations from Farmer Mac. The charter requires Farmer Mac to repurchase any of its debt obligations held by the U.S. Treasury within a reasonable time. As of March 31, 2021, Farmer Mac had not used this borrowing authority. Gains on Repurchase of Outstanding Debt No outstanding debt repurchases were made in the three months ended March 31, 2021 or 2020. 8. EQUITY Common Stock During first quarter 2021, Farmer Mac paid a quarterly dividend of $ 0.88 per share on all classes of its common stock. For each quarter in 2020, Farmer Mac paid a quarterly dividend of $ 0.80 per share on all classes of its common stock. Farmer Mac's board of directors approved a share repurchase program during third quarter 2015 authorizing Farmer Mac to repurchase up to $ 25.0 million of its outstanding Class C non-voting common stock. The share repurchase program, last modified on March 14, 2019, authorized Farmer Mac to 37 repurchase up to $ 10.0 million of Farmer Mac's outstanding Class C non-voting common stock. During first quarter 2020, Farmer Mac repurchased approximately 4,000 shares of Class C non-voting common stock at a cost of approximately $ 0.2 million. Shortly after these repurchases were completed, Farmer Mac indefinitely suspended its share repurchase program in an effort to preserve capital and liquidity in view of market volatility and uncertainty caused by the COVID-19 pandemic. In March 2021, Farmer Mac's board of directors reinstated the share repurchase program on its previous terms (with a remaining authorization of up to $ 9.8 million in stock repurchases) and extended the expiration date of the program to March 2023. As of March 31, 2021, Farmer Mac had repurchased approximately 673,000 shares of Class C non-voting common stock at a cost of approximately $ 19.8 million under the share repurchase program since 2015. Capital Requirements Farmer Mac is required to comply with the higher of the minimum capital requirement and the risk-based capital requirement. As of both March 31, 2021 and December 31, 2020, the minimum capital requirement was greater than the risk-based capital requirement. Farmer Mac's ability to declare and pay dividends could be restricted if it fails to comply with applicable capital requirements. As of March 31, 2021, Farmer Mac's minimum capital requirement was $ 677.6 million and its core capital level was $ 1.0 billion, which was $ 348.1 million above the minimum capital requirement as of that date. As of December 31, 2020, Farmer Mac's minimum capital requirement was $ 680.9 million and its core capital level was $ 1.0 billion, which was $ 325.5 million above the minimum capital requirement as of that date. In accordance with the Farm Credit Administration's rule on Farmer Mac's capital planning, and as part of Farmer Mac's capital plan, Farmer Mac has adopted a policy for maintaining a sufficient level of Tier 1 capital (consisting of retained earnings, paid-in-capital, common stock, and qualifying preferred stock) and imposing restrictions on Tier 1-eligible dividends and any discretionary bonus payments in the event that this capital falls below specified thresholds. 38 9. FAIR VALUE DISCLOSURES Fair Value Classification and Transfers The following tables present information about Farmer Mac's assets and liabilities measured at fair value on a recurring basis as of March 31, 2021 and December 31, 2020, respectively, and indicate the fair value hierarchy of the valuation techniques used by Farmer Mac to determine such fair value: Table 9.1 Assets and Liabilities Measured at Fair Value as of March 31, 2021 Level 1 Level 2 Level 3 (1) Total (in thousands) Recurring: Assets: Investment Securities: Available-for-sale: Floating rate auction-rate certificates backed by Government guaranteed student loans $ — $ — $ 19,146 $ 19,146 Floating rate Government/GSE guaranteed mortgage-backed securities — 2,387,558 — 2,387,558 Fixed rate GSE guaranteed mortgage-backed securities — 201 — 201 Fixed rate U.S. Treasuries 1,402,727 — — 1,402,727 Total Available-for-sale Investment Securities 1,402,727 2,387,759 19,146 3,809,632 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage — — 6,763,209 6,763,209 Total Farmer Mac Guaranteed Securities — — 6,763,209 6,763,209 USDA Securities: Trading — — 5,578 5,578 Total USDA Securities — — 5,578 5,578 Financial derivatives 20 18,350 — 18,370 Total Assets at fair value $ 1,402,747 $ 2,406,109 $ 6,787,933 $ 10,596,789 Liabilities: Financial derivatives $ — $ 28,345 $ — $ 28,345 Total Liabilities at fair value $ — $ 28,345 $ — $ 28,345 (1) Level 3 assets represent 28 % of total assets and 64 % of financial instruments measured at fair value. 39 Assets and Liabilities Measured at Fair Value as of December 31, 2020 Level 1 Level 2 Level 3 (1) Total (in thousands) Recurring: Assets: Investment Securities: Available-for-sale: Floating rate auction-rate certificates backed by Government guaranteed student loans $ — $ — $ 19,171 $ 19,171 Floating rate asset-backed securities — 6,231 — 6,231 Floating rate Government/GSE guaranteed mortgage-backed securities — 2,360,026 — 2,360,026 Fixed rate GSE guaranteed mortgage-backed securities — 313 — 313 Fixed rate U.S. Treasuries 1,467,951 — — 1,467,951 Total Available-for-sale Investment Securities 1,467,951 2,366,570 19,171 3,853,692 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage — — 6,947,701 6,947,701 Total Farmer Mac Guaranteed Securities — — 6,947,701 6,947,701 USDA Securities: Trading — — 6,695 6,695 Total USDA Securities — — 6,695 6,695 Financial derivatives — 17,468 — 17,468 Total Assets at fair value $ 1,467,951 $ 2,384,038 $ 6,973,567 $ 10,825,556 Liabilities: Financial derivatives $ 82 $ 29,810 $ — $ 29,892 Total Liabilities at fair value $ 82 $ 29,810 $ — $ 29,892 (1) Level 3 assets represent 29 % of total assets and 65 % of financial instruments measured at fair value. There were no significant assets or liabilities measured at fair value on a non-recurring basis as of March 31, 2021 or December 31, 2020. Transfers in and/or out of the different levels within the fair value hierarchy are based on the fair values of the assets and liabilities as of the beginning of the reporting period. During the three months ended March 31, 2021 and 2020, there were no transfers within the fair value hierarchy for fair value measurements of Farmer Mac's investment securities, Farmer Mac Guaranteed Securities, USDA Securities, and financial derivatives. 40 The following tables present additional information about assets and liabilities measured at fair value on a recurring basis for which Farmer Mac has used significant unobservable inputs to determine fair value. Net transfers in and/or out of Level 3 are based on the fair values of the assets and liabilities as of the beginning of the reporting period. There were no liabilities measured at fair value using significant unobservable inputs during the three months ended March 31, 2021 and 2020. Table 9.2 Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended March 31, 2021 Beginning Balance Purchases Sales Settlements Allowance for Losses Realized and unrealized losses included in Income Unrealized gains included in Other Comprehensive Income Ending Balance (in thousands) Recurring: Assets: Investment Securities: Available-for-sale: Floating rate auction-rate certificates backed by Government guaranteed student loans $ 19,171 $ — $ — $ — $ ( 25 ) $ — $ — $ 19,146 Total available-for-sale 19,171 — — — ( 25 ) — — 19,146 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage 6,947,701 160,615 — ( 243,832 ) 182 ( 168,742 ) 67,285 6,763,209 Total available-for-sale 6,947,701 160,615 — ( 243,832 ) 182 ( 168,742 ) 67,285 6,763,209 USDA Securities: Trading 6,695 — — ( 1,103 ) — ( 14 ) — 5,578 Total USDA Securities 6,695 — — ( 1,103 ) ( 14 ) — 5,578 Total Assets at fair value $ 6,973,567 $ 160,615 $ — $ ( 244,935 ) $ 157 $ ( 168,756 ) $ 67,285 $ 6,787,933 41 Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended March 31, 2020 Beginning Balance Purchases Sales Settlements Allowance for Losses Realized and unrealized gains included in Income Unrealized losses included in Other Comprehensive Income Ending Balance (in thousands) Recurring: Assets: Investment Securities: Available-for-sale: Floating rate auction-rate certificates backed by Government guaranteed student loans $ 18,912 $ — $ — $ — $ ( 24 ) $ — $ ( 2,167 ) $ 16,721 Total available-for-sale 18,912 — — — ( 24 ) — ( 2,167 ) 16,721 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage 7,143,025 483,580 — ( 227,255 ) ( 166 ) 290,380 ( 102,378 ) 7,587,186 Total available-for-sale 7,143,025 483,580 — ( 227,255 ) ( 166 ) 290,380 ( 102,378 ) 7,587,186 USDA Securities: Trading 8,913 — — ( 611 ) — 106 — 8,408 Total USDA Securities 8,913 — — ( 611 ) 106 — 8,408 Total Assets at fair value $ 7,170,850 $ 483,580 $ — $ ( 227,866 ) $ ( 190 ) $ 290,486 $ ( 104,545 ) $ 7,612,315 The following tables present additional information about the significant unobservable inputs, such as discount rates and constant prepayment rates ("CPR"), used in the fair value measurements categorized in Level 3 of the fair value hierarchy as of March 31, 2021 and December 31, 2020: Table 9.3 As of March 31, 2021 Financial Instruments Fair Value Valuation Technique Unobservable Input Range (Weighted-Average) (in thousands) Assets: Investment securities: Floating rate auction-rate certificates backed by Government guaranteed student loans $ 19,146 Indicative bids Range of broker quotes 97.5 % - 97.5 % ( 97.5 %) Farmer Mac Guaranteed Securities: AgVantage $ 6,763,209 Discounted cash flow Discount rate 0.8 % - 2.7 % ( 1.5 %) USDA Securities $ 5,578 Discounted cash flow Discount rate 1.1 % - 1.8 % ( 1.4 %) CPR 23 % - 43 % ( 33 %) 42 As of December 31, 2020 Financial Instruments Fair Value Valuation Technique Unobservable Input Range (Weighted-Average) (in thousands) Assets: Investment securities: Floating rate auction-rate certificates backed by Government guaranteed student loans $ 19,171 Indicative bids Range of broker quotes 97.5 % - 97.5 % ( 97.5 %) Farmer Mac Guaranteed Securities: AgVantage $ 6,947,701 Discounted cash flow Discount rate 0.8 % - 2.3 % ( 1.3 %) USDA Securities $ 6,695 Discounted cash flow Discount rate 0.9 % - 1.9 % ( 1.4 %) CPR 25 % - 49 % ( 44 %) The significant unobservable input used in the fair value measurements of AgVantage Farmer Mac Guaranteed Securities is the discount rate commensurate with the risks involved. Typically, significant increases (decreases) in this input in isolation may result in materially lower (higher) fair value measurements. Generally, in a rising interest rate environment, Farmer Mac would expect average discount rates to increase. Conversely, in a declining interest rate environment, Farmer Mac would expect average discount rates to decrease. Prepayment rates are not presented in the table above for AgVantage securities because they generally have fixed maturity dates when the secured general obligations are due and do not prepay. The significant unobservable inputs used in the fair value measurements of USDA Securities are the prepayment rate and discount rate commensurate with the risks involved. Typically, significant increases (decreases) in any of these inputs in isolation may result in materially lower (higher) fair value measurements. Generally, in a rising interest rate environment, Farmer Mac would expect average discount rates to increase and would likely expect a corresponding decrease in forecasted prepayment rates. Conversely, in a declining interest rate environment, Farmer Mac would expect average discount rates to decrease and would likely expect a corresponding increase in forecasted prepayment rates. 43 Disclosures on Fair Value of Financial Instruments The following table sets forth the estimated fair values and carrying values for financial assets, liabilities, and guarantees and commitments as of March 31, 2021 and December 31, 2020: Table 9.4 As of March 31, 2021 As of December 31, 2020 Fair Value Carrying Amount Fair Value Carrying Amount (in thousands) Financial assets: Cash and cash equivalents $ 1,012,541 $ 1,012,541 $ 1,033,941 $ 1,033,941 Investment securities 3,856,619 3,855,067 3,899,925 3,898,724 Farmer Mac Guaranteed Securities 7,937,251 7,922,001 8,148,691 8,123,493 USDA Securities 2,624,456 2,495,078 2,637,509 2,480,321 Loans 9,178,052 8,501,630 9,167,525 8,535,146 Financial derivatives 18,370 18,370 17,468 17,468 Guarantee and commitment fees receivable 34,114 35,878 34,115 37,113 Financial liabilities: Notes payable 21,678,738 21,560,310 22,130,263 21,848,917 Debt securities of consolidated trusts held by third parties 1,264,293 1,188,521 1,390,330 1,323,786 Financial derivatives 28,345 28,345 29,892 29,892 Guarantee and commitment obligations 32,639 34,403 32,537 35,535 The carrying value of cash and cash equivalents is a reasonable estimate of their approximate fair value and is classified as Level 1. The fair value of investments in U.S. Treasuries are valued based on unadjusted quoted prices in active markets and are classified as Level 1. A significant portion of Farmer Mac's investment portfolio is valued using a reputable nationally recognized third-party pricing service. The prices obtained are non-binding and generally representative of recent market trades and are classified as Level 2. Farmer Mac internally models the fair value of its loan portfolio, including loans held for investment and loans held for investment in consolidated trusts, Farmer Mac Guaranteed Securities, and USDA Securities by discounting the projected cash flows of these instruments at projected interest rates. The fair values are based on the present value of expected cash flows using management's best estimate of certain key assumptions, which include prepayment speeds, forward yield curves and discount rates commensurate with the risks involved. These fair value measurements do not take into consideration the fair value of the underlying property and are classified as Level 3. Financial derivatives primarily are valued using unadjusted counterparty valuations and are classified as Level 2. The fair value of the guarantee fees receivable/obligation and debt securities of consolidated trusts are estimated based on the present value of expected future cash flows of the underlying mortgage assets using management's best estimate of certain key assumptions, which include prepayments speeds, forward yield curves, and discount rates commensurate with the risks involved and are classified as Level 3. Notes payable are valued by discounting the expected cash flows of these instruments using a yield curve derived from market prices observed for similar agency securities and are also classified as Level 3. Because the cash flows of Farmer Mac's financial instruments may be interest rate path dependent, estimated fair values and projected discount rates for Level 3 financial instruments are derived using a Monte Carlo simulation model. Different market assumptions and estimation methodologies could significantly affect estimated fair value amounts. 44 10. BUSINESS SEGMENT REPORTING The following tables present core earnings for Farmer Mac's operating segments and a reconciliation to consolidated net income for the three months ended March 31, 2021 and 2020: Table 10.1 Core Earnings by Business Segment For the Three Months Ended March 31, 2021 Farm & Ranch USDA Guarantees Rural Utilities Institutional Credit Corporate Reconciling Adjustments Consolidated Net Income (in thousands) Net interest income $ 21,855 $ 5,689 $ 7,649 $ 15,523 $ 2,535 $ — $ 53,251 Less: reconciling adjustments (1)(2)(3) ( 401 ) 678 ( 975 ) 1,150 156 ( 608 ) — Net effective spread 21,454 6,367 6,674 16,673 2,691 ( 608 ) — Guarantee and commitment fees (2) 3,733 183 319 5 — ( 1,210 ) 3,030 Other income/(expense) (3) 404 169 1 — ( 123 ) 4,412 4,863 Non-interest income/(loss) 4,137 352 320 5 ( 123 ) 3,202 7,893 Release of/(provision for) losses 27 — ( 1,002 ) 87 ( 25 ) — ( 913 ) Release of reserve for losses 731 — 213 — — — 944 Other non-interest expense ( 6,549 ) ( 2,533 ) ( 2,057 ) ( 2,590 ) ( 5,152 ) — ( 18,881 ) Non-interest expense (4) ( 5,818 ) ( 2,533 ) ( 1,844 ) ( 2,590 ) ( 5,152 ) — ( 17,937 ) Core earnings before income taxes 19,800 4,186 4,148 14,175 ( 2,609 ) 2,594 (5) 42,294 Income tax (expense)/benefit ( 4,158 ) ( 879 ) ( 871 ) ( 2,977 ) 365 ( 547 ) ( 9,067 ) Core earnings before preferred stock dividends 15,642 3,307 3,277 11,198 ( 2,244 ) 2,047 (5) 33,227 Preferred stock dividends — — — — ( 5,269 ) — ( 5,269 ) Segment core earnings/(losses) $ 15,642 $ 3,307 $ 3,277 $ 11,198 $ ( 7,513 ) $ 2,047 (5) $ 27,958 Total assets at carrying value $ 6,395,438 $ 2,557,412 $ 2,207,810 $ 7,929,662 $ 4,923,589 $ — $ 24,013,911 Total on- and off-balance sheet program assets at principal balance $ 8,629,352 $ 2,787,065 $ 2,804,437 $ 7,641,677 $ — $ — $ 21,862,531 (1) Includes the amortization of premiums and discounts on assets consolidated at fair value, originally included in interest income, to reflect core earnings amounts. (2) Includes the reclassification of interest income and interest expense from consolidated trusts owned by third parties to guarantee and commitment fees, to reflect management's view that the net interest income Farmer Mac earns is effectively a guarantee fee. (3) Includes the reclassification of interest expense related to interest rate swaps not designated as hedges, which are included in "Gains/(losses) on financial derivatives" on the consolidated financial statements, to determine the effective funding cost for each operating segment. (4) Includes directly attributable costs and an allocation of indirectly attributable costs based on employee headcount. (5) Net adjustments to reconcile to the corresponding income measures: core earnings before income taxes reconciled to income before income taxes; core earnings before preferred stock dividends reconciled to net income; and segment core earnings reconciled to net income attributable to common stockholders. 45 Core Earnings by Business Segment For the Three Months Ended March 31, 2020 Farm & Ranch USDA Guarantees Rural Utilities Institutional Credit Corporate Reconciling Adjustments Consolidated Net Income (in thousands) Net interest income $ 16,365 $ 4,541 $ 4,747 $ 13,804 $ 1,855 $ — $ 41,312 Less: reconciling adjustments (1)(2)(3) ( 1,427 ) 84 173 3,898 123 ( 2,851 ) — Net effective spread 14,938 4,625 4,920 17,702 1,978 ( 2,851 ) — Guarantee and commitment fees (2) 4,317 235 335 9 — ( 1,700 ) 3,196 Other income/(expense) (3) 1,169 112 7 — ( 129 ) ( 9,050 ) ( 7,891 ) Non-interest income/(loss) 5,486 347 342 9 ( 129 ) ( 10,750 ) ( 4,695 ) Provision for loan losses ( 808 ) — ( 2,125 ) ( 491 ) ( 14 ) — ( 3,438 ) Provision for reserve for losses ( 4 ) — ( 389 ) — — — ( 393 ) Other non-interest expense ( 5,997 ) ( 1,818 ) ( 1,604 ) ( 2,363 ) ( 4,433 ) — ( 16,215 ) Non-interest expense (4) ( 6,001 ) ( 1,818 ) ( 1,993 ) ( 2,363 ) ( 4,433 ) — ( 16,608 ) Core earnings before income taxes 13,615 3,154 1,144 14,857 ( 2,598 ) ( 13,601 ) (5) 16,571 Income tax (expense)/benefit ( 2,859 ) ( 662 ) ( 240 ) ( 3,120 ) 283 2,857 ( 3,741 ) Core earnings before preferred stock dividends 10,756 2,492 904 11,737 ( 2,315 ) ( 10,744 ) (5) 12,830 Preferred stock dividends — — — — ( 3,431 ) — ( 3,431 ) Segment core earnings/(losses) $ 10,756 $ 2,492 $ 904 $ 11,737 $ ( 5,746 ) $ ( 10,744 ) (5) $ 9,399 Total assets at carrying value $ 5,457,134 $ 2,341,698 $ 1,964,901 $ 9,049,154 $ 4,367,223 $ — $ 23,180,110 Total on- and off-balance sheet program assets at principal balance $ 7,811,594 $ 2,646,206 $ 2,385,411 $ 8,696,101 $ — $ — $ 21,539,312 (1) Includes the amortization of premiums and discounts on assets consolidated at fair value, originally included in interest income, to reflect core earnings amounts. (2) Includes the reclassification of interest income and interest expense from consolidated trusts owned by third parties to guarantee and commitment fees, to reflect management's view that the net interest income Farmer Mac earns is effectively a guarantee fee. (3) Includes the reclassification of interest expense related to interest rate swaps not designated as hedges, which are included in "Gains/(losses) on financial derivatives" on the consolidated financial statements, to determine the effective funding cost for each operating segment. (4) Includes directly attributable costs and an allocation of indirectly attributable costs based on employee headcount. (5) Net adjustments to reconcile to the corresponding income measures: core earnings before income taxes reconciled to income before income taxes; core earnings before preferred stock dividends reconciled to net income; and segment core earnings reconciled to net income attributable to common stockholders. 46