What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2021-08-05 compared with 2021-05-06 · 471 added, 181 removed, 1177 unchanged (36% of the section changed)

2 unchanged sentences

CONSOLIDATED BALANCE SHEETS

March 31, 2021 December 31, 2020

June 30, 2021 December 31, 2020

(in thousands)

34 unchanged sentences

Accounts payable and accrued expenses 30,138 28,879

Deferred tax liability, net 521 —

Reserve for losses 2,111 3,277

10 unchanged sentences

116,160 116,160

Series G, par value $ 25 per share, 5,000,000 shares authorized, issued and outstanding

Common stock:

10 unchanged sentences

CONSOLIDATED STATEMENTS OF OPERATIONS

For the Three Months Ended

March 31, 2021 March 31, 2020

For the Three Months Ended For the Six Months Ended

June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020

(in thousands, except per share amounts)

6 unchanged sentences

Net interest income 55,129 48,348 108,380 89,660

Provision for losses ( 913 ) ( 3,438 )

Release of/(provision for) losses 761 ( 451 ) ( 152 ) ( 3,889 )

Net interest income after provision for losses 55,890 47,897 108,228 85,771

1 unchanged sentence

Guarantee and commitment fees 2,997 3,140 6,027 6,336

Gains/(losses) on financial derivatives 4,293 ( 9,298 )

(Losses)/gains on financial derivatives ( 3,066 ) 6,523 1,227 ( 2,775 )

(Losses)/gains on trading securities ( 62 ) ( 21 ) ( 75 ) 85

Gains on sale of real estate owned — — — 485

Release of/(provision for) reserve for losses 944 ( 393 )

Release of reserve for losses 222 400 1,166 7

Other income 435 1,229 1,018 2,045

Non-interest income/(expense) 8,837 ( 5,088 )

Non-interest income 526 11,271 9,363 6,183

Operating expenses:

14 unchanged sentences

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME

For the Three Months Ended

March 31, 2021 March 31, 2020

For the Three Months Ended For the Six Months Ended

June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020

(in thousands)

1 unchanged sentence

Other comprehensive income/(loss) before taxes:

Net unrealized gains/(losses) on available-for-sale securities 66,364 ( 99,316 )

Net unrealized (losses)/gains on available-for-sale securities ( 37,389 ) 42,527 28,975 ( 56,789 )

Net changes in held-to-maturity securities ( 1,653 ) ( 2,496 ) ( 3,810 ) ( 8,184 )

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 )

Net unrealized (losses)/gains on cash flow hedges ( 5,274 ) ( 2,132 ) 13,641 ( 30,388 )

Other comprehensive (loss)/income before tax ( 44,316 ) 37,899 38,806 ( 95,361 )

Income tax benefit/(expense) related to other comprehensive (loss)/income 9,305 ( 7,959 ) ( 8,150 ) 20,025

Other comprehensive (loss)/income net of tax ( 35,011 ) 29,940 30,656 ( 75,336 )

Comprehensive (loss)/income $ ( 3,725 ) $ 65,566 $ 95,169 $ ( 26,880 )

The accompanying notes are an integral part of these consolidated financial statements.

6 unchanged sentences

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

Net Income — — — — — — 31,286 31,286

Other comprehensive loss, net of tax — — — — — ( 35,011 ) — ( 35,011 )

Cash dividends:

Preferred stock — — — — — — ( 5,842 ) ( 5,842 )

Common stock (cash dividend of $ 0.88 per share)

— — — — — — ( 9,474 ) ( 9,474 )

Issuance of Series G Preferred Stock 5,000 121,327 — — — — — 121,327

Issuance of Class C Common Stock — — 7 7 13 — — 20

Stock-based compensation cost — — — — 891 — — 891

Other stock-based award activity — — — — ( 474 ) — — ( 474 )

Balance as of June 30, 2021 19,980 $ 484,531 10,765 $ 10,765 $ 124,148 $ 16,733 $ 544,038 $ 1,180,215

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 )

11 unchanged sentences

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 — — — — — — 35,626 35,626

4 unchanged sentences

— — — — — — ( 8,585 ) ( 8,585 )

Issuance of Series E Preferred Stock 3,180 77,003 — — — — — 77,003

Issuance of Class C Common Stock — — 10 10 17 — — 27

1 unchanged sentence

Other stock-based award activity — — — — ( 292 ) — — ( 292 )

Balance as of March 31, 2021 14,980 $ 363,204 10,758 $ 10,758 $ 123,718 $ 51,744 $ 528,068 $ 1,077,492

Balance as of June 30, 2020 12,580 $ 305,377 10,733 $ 10,733 $ 120,856 $ ( 91,497 ) $ 478,647 $ 824,116

The accompanying notes are an integral part of these consolidated financial statements.

2 unchanged sentences

( unaudited )

For the Three Months Ended

March 31, 2021 March 31, 2020

For the Six Months Ended

June 30, 2021 June 30, 2020

(in thousands)

27 unchanged sentences

Proceeds from repayment of loans purchased as held for investment 1,014,805 712,238

Proceeds from sale of available-for-sale investment securities 25,573 —

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 )

Net cash used in investing activities ( 209,936 ) ( 1,592,368 )

Cash flows from financing activities:

5 unchanged sentences

Proceeds from common stock issuance 25 36

Proceeds from preferred stock issuance, net of stock issuance costs 121,327 77,003

Tax payments related to share-based awards ( 1,305 ) ( 471 )

36 unchanged sentences

Presented below are Farmer Mac's significant accounting policies that contain

updated information for the three months ended March 31, 2021.

updated information for the three and six months ended June 30, 2021.

Principles of Consolidation

4 unchanged sentences

Consolidation of Variable Interest Entities

As of March 31, 2021

As of June 30, 2021

Farm & Ranch USDA Guarantees Corporate Total

22 unchanged sentences

(1) Includes borrower remittances of $ 42.3 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.

The borrower remittances had not been passed through to third party investors as of June 30, 2021.

(2) Includes $ 41,000 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.

35 unchanged sentences

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:

The following schedule reconciles basic and diluted EPS for the three and six months ended June 30, 2021 and 2020:

For the Three Months Ended

March 31, 2021 March 31, 2020

June 30, 2021 June 30, 2020

Income Weighted-Average Shares $ per

5 unchanged sentences

Diluted EPS $ 25,444 10,838 $ 2.35 $ 31,687 10,776 $ 2.94

(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.

(1) For the three months ended June 30, 2021 and 2020, SARs and restricted stock of 29,043 and 83,297 , 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 June 30, 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.

For the Six Months Ended

June 30, 2021 June 30, 2020

Income Weighted-Average Shares $ per

(in thousands, except per share amounts)

Net income attributable to common stockholders $ 53,402 10,751 $ 4.96 $ 41,086 10,721 $ 3.83

Effect of dilutive securities (1)

SARs and restricted stock — 78 ( 0.03 ) — 58 ( 0.02 )

Diluted EPS $ 53,402 10,829 $ 4.93 $ 41,086 10,779 $ 3.81

(1) For the six months ended June 30, 2021 and 2020, SARs and restricted stock of 64,364 and 85,223 , respectively, were outstanding but not included in the computation of diluted earnings per share of common stock because they were anti-dilutive.

For the six months ended June 30, 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.

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.

As of March 31, 2021 As of March 31, 2020

The following table presents the changes in accumulated other comprehensive income ("AOCI"), net of tax, by component for the three and six months ended June 30, 2021 and 2020.

As of June 30, 2021 As of June 30, 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

2 unchanged sentences

Beginning Balance $ 38,491 $ 21,125 $ ( 7,872 ) $ 51,744 $ ( 121,858 ) $ 28,351 $ ( 27,930 ) $ ( 121,437 )

Other comprehensive (loss)/income before reclassifications ( 28,751 ) — ( 5,570 ) ( 34,321 ) 34,374 — ( 2,920 ) 31,454

Amounts reclassified from AOCI ( 786 ) ( 1,306 ) 1,402 ( 690 ) ( 777 ) ( 1,972 ) 1,235 ( 1,514 )

Net comprehensive (loss)/income ( 29,537 ) ( 1,306 ) ( 4,168 ) ( 35,011 ) 33,597 ( 1,972 ) ( 1,685 ) 29,940

Ending Balance $ 8,954 $ 19,819 $ ( 12,040 ) $ 16,733 $ ( 88,261 ) $ 26,379 $ ( 29,615 ) $ ( 91,497 )

For the Six 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 24,459 — 7,993 32,452 ( 43,310 ) — ( 25,588 ) ( 68,898 )

2 unchanged sentences

Ending Balance $ 8,954 $ 19,819 $ ( 12,040 ) $ 16,733 $ ( 88,261 ) $ 26,379 $ ( 29,615 ) $ ( 91,497 )

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:

For the Three Months Ended

March 31, 2021 March 31, 2020

June 30, 2021 June 30, 2020

Before Tax Provision (Benefit) After Tax Before Tax Provision (Benefit) After Tax

2 unchanged sentences

Available-for-sale-securities:

Unrealized holding (losses)/gains on available-for-sale securities $ ( 36,395 ) $ ( 7,644 ) $ ( 28,751 ) $ 43,512 $ 9,138 $ 34,374

Less reclassification adjustments included in:

Net interest income (1)

( 987 ) ( 207 ) ( 780 ) ( 971 ) ( 204 ) ( 767 )

Other income (2)

( 7 ) ( 1 ) ( 6 ) ( 14 ) ( 4 ) ( 10 )

Total $ ( 37,389 ) $ ( 7,852 ) $ ( 29,537 ) $ 42,527 $ 8,930 $ 33,597

Held-to-maturity securities:

Less reclassification adjustments included in:

Net interest income (3)

( 1,653 ) ( 347 ) ( 1,306 ) ( 2,496 ) ( 524 ) ( 1,972 )

Total $ ( 1,653 ) $ ( 347 ) $ ( 1,306 ) $ ( 2,496 ) $ ( 524 ) $ ( 1,972 )

Cash flow hedges

Unrealized losses on cash flow hedges $ ( 7,050 ) $ ( 1,480 ) $ ( 5,570 ) $ ( 3,695 ) $ ( 775 ) $ ( 2,920 )

Less reclassification adjustments included in:

Net interest income (4)

1,776 374 1,402 1,563 328 1,235

Total $ ( 5,274 ) $ ( 1,106 ) $ ( 4,168 ) $ ( 2,132 ) $ ( 447 ) $ ( 1,685 )

Other comprehensive (loss)/income $ ( 44,316 ) $ ( 9,305 ) $ ( 35,011 ) $ 37,899 $ 7,959 $ 29,940

(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.

For the Six Months Ended

June 30, 2021 June 30, 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 $ 30,961 $ 6,502 $ 24,459 $ ( 54,822 ) $ ( 11,512 ) $ ( 43,310 )

32 unchanged sentences

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:

As of March 31, 2021

The following tables set forth information about Farmer Mac's available-for-sale and held-to-maturity investment securities as of June 30, 2021 and December 31, 2020:

As of June 30, 2021

Amount Outstanding Unamortized Premium/(Discount) Amortized

14 unchanged sentences

Total held-to-maturity $ 45,032 $ — $ 45,032 $ — $ — $ ( 198 ) $ 44,834

(1) Amounts presented exclude $ 6.4 million of accrued interest receivable on investment securities as of March 31, 2021.

(1) Amounts presented exclude $ 6.2 million of accrued interest receivable on investment securities as of June 30, 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.

(3) The held-to-maturity investment securities had a weighted average yield of 1.5 % as of June 30, 2021.

As of December 31, 2020

20 unchanged sentences

(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:

As of March 31, 2021

During the three and six months ended June 30, 2021, Farmer Mac received proceeds of $ 25.6 million from the sale of securities from its available-for-sale investment portfolio, resulting in a loss of $ 2,900 .

Farmer Mac did no t sell any securities from its available-for-sale investment portfolio during the three and six months ended June 30, 2020.

As of June 30, 2021 and December 31, 2020, unrealized losses on available-for-sale investment securities were as follows:

As of June 30, 2021

Available-for-Sale Securities

26 unchanged sentences

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 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 June 30, 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.

As of both June 30, 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.

Securities in unrealized loss positions for 12 months or longer have a fair value as of June 30, 2021 that is, on average, approximately 98.6 % 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.

The amortized cost, fair value, and weighted-average yield of available-for-sale investment securities by remaining contractual maturity as of June 30, 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.

As of March 31, 2021

As of June 30, 2021

Available-for-Sale Securities

7 unchanged sentences

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:

As of March 31, 2021

The following tables set forth information about on-balance sheet Farmer Mac Guaranteed Securities and USDA Securities as of June 30, 2021 and December 31, 2020:

As of June 30, 2021

Unpaid Principal Balance Unamortized Premium/(Discount) Amortized

13 unchanged sentences

$ 4,904 $ 138 $ 5,042 $ — $ 22 $ ( 14 ) $ 5,050

(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.

(1) Amounts presented exclude $ 32.0 million, $ 31.2 million, and $ 0.1 million of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of June 30, 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.

(3) The trading USDA securities had a weighted average yield of 5.06 % as of June 30, 2021.

As of December 31, 2020

18 unchanged sentences

(3) The trading USDA securities had a weighted average yield of 5.05 % as of December 31, 2020.

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:

As of March 31, 2021

As of June 30, 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:

As of June 30, 2021

Held-to-Maturity and Available-for-Sale Securities

22 unchanged sentences

AgVantage $ 49,939 $ ( 61 ) $ — $ —

Farmer Mac Guaranteed USDA Securities — — — —

USDA Securities — — 21,061 ( 560 )

2 unchanged sentences

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 unrealized losses presented above are principally due to changes in interest rates from the date of acquisition to June 30, 2021 and December 31, 2020, as applicable.

The unrealized losses on the held-to-maturity USDA Securities as of both June 30, 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.

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 unrealized losses from AgVantage securities were on 13 and 11 available-for-sale securities as of June 30, 2021 and December 31, 2020, respectively.

There were 4 and 2 held-to-maturity AgVantage securities with an unrealized loss as of June 30, 2021 and December 31, 2020, respectively.

As of June 30, 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 and six months ended June 30, 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 balances presented are based on their final maturities, although the actual maturities may differ due to prepayments of the underlying assets.

As of March 31, 2021

As of June 30, 2021

Available-for-Sale Securities

7 unchanged sentences

(1) Amounts presented exclude $ 32.0 million of accrued interest receivable.

As of March 31, 2021

As of June 30, 2021

Held-to-Maturity Securities

12 unchanged sentences

filed with the SEC on February 25, 2021.

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:

As of March 31, 2021

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 June 30, 2021 and December 31, 2020:

As of June 30, 2021

Fair Value Weighted-

17 unchanged sentences

Receive fixed non-callable 1,747,850 — — 0.13 % 0.61 % 0.82

Receive fixed callable 100,000 — — 0.15 % 0.15 % 0.50

Basis swaps 2,608,911 1,215 ( 79 ) 0.14 % 0.19 % 2.44

31 unchanged sentences

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.

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:

For the Three Months Ended March 31, 2021

As of June 30, 2021, Farmer Mac expects to reclassify $ 5.7 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 June 30, 2021.

During the three and six months ended June 30, 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.

The following table summarizes the net income/(expense) recognized in the consolidated statements of operations related to derivatives for the three and six months ended June 30, 2021 and 2020:

For the Three Months Ended June 30, 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

Interest Income Investments and Cash Equivalents Interest Income Farmer Mac Guaranteed Securities and USDA Securities Interest Income Loans Total Interest Expense Losses on financial derivatives

(in thousands)

5 unchanged sentences

Income/(expense) related to interest settlements on fair value hedging relationships $ 32 $ 8,961 $ 4,931 $ ( 2,587 ) $ — $ 11,337

Gains/(losses) on fair value hedging relationships:

Recognized on derivatives $ ( 176 ) $ ( 48,680 ) $ ( 65,147 ) $ ( 2,657 ) $ — $ ( 116,660 )

Recognized on hedged items 188 49,878 63,978 891 — 114,935

Gains/(losses) on fair value hedging relationships $ 12 $ 1,198 $ ( 1,169 ) $ ( 1,766 ) $ — $ ( 1,725 )

Expense related to interest settlements on cash flow hedging relationships:

Interest settlements reclassified from AOCI into net income on derivatives $ — $ — $ — $ ( 1,776 ) $ — $ ( 1,776 )

Recognized on hedged items — — — ( 643 ) — ( 643 )

Discount amortization recognized on hedged items — — — ( 8 ) — ( 8 )

Expense recognized on cash flow hedges $ — $ — $ — $ ( 2,427 ) $ — $ ( 2,427 )

Losses on financial derivatives not designated in hedging relationships:

Losses on interest rate swaps $ — $ — $ — $ — $ ( 3,739 ) $ ( 3,739 )

Interest expense on interest rate swaps — — — — 1,098 1,098

Treasury futures — — — — ( 425 ) ( 425 )

Losses on financial derivatives not designated in hedge relationships $ — $ — $ — $ — $ ( 3,066 ) $ ( 3,066 )

For The Three Months Ended June 30, 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 Gains on financial derivatives

(in thousands)

Total amounts presented in the consolidated statement of operations:

$ 61,792 $ 55,430 $ ( 79,273 ) $ 6,523 $ 44,472

Income/(expense) related to interest settlements on fair value hedging relationships:

Recognized on derivatives ( 12,257 ) ( 4,535 ) 5,432 — ( 11,360 )

Recognized on hedged items 32,102 9,812 ( 12,721 ) — 29,193

Discount amortization recognized on hedged items — — ( 181 ) — ( 181 )

Income/(expense) related to interest settlements on fair value hedging relationships $ 19,845 $ 5,277 $ ( 7,470 ) $ — $ 17,652

(Losses)/gains on fair value hedging relationships:

7 unchanged sentences

Expense recognized on cash flow hedges $ — $ — $ ( 2,594 ) $ — $ ( 2,594 )

Gains on financial derivatives not designated in hedging relationships:

Gains on financial derivatives not designated in hedge relationships:

Gains on interest rate swaps $ — $ — $ — $ 8,427 $ 8,427

2 unchanged sentences

Gains on financial derivatives not designated in hedge relationships $ — $ — $ — $ 6,523 $ 6,523

For The Three Months Ended March 31, 2020

For the Six Months Ended June 30, 2021

Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives

Net Interest Income Non-Interest Income Total

Interest Income Investments and Cash Equivalents 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 $ 9,986 $ 84,818 $ 119,708 $ ( 106,132 ) $ 1,227 $ 109,607

Income/(expense) related to interest settlements on fair value hedging relationships:

Recognized on derivatives ( 35 ) ( 43,041 ) ( 13,275 ) 19,292 — ( 37,059 )

Recognized on hedged items 67 61,341 23,122 ( 23,949 ) — 60,581

Discount amortization recognized on hedged items — — — ( 478 ) — ( 478 )

Income/(expense) related to interest settlements on fair value hedging relationships $ 32 $ 18,300 $ 9,847 $ ( 5,135 ) $ — $ 23,044

Gains/(losses) on fair value hedging relationships:

Recognized on derivatives $ ( 176 ) $ 119,396 $ 80,624 $ ( 32,111 ) $ — $ 167,733

Recognized on hedged items 188 ( 118,922 ) ( 80,770 ) 30,392 — ( 169,112 )

Gains/(losses) on fair value hedging relationships $ 12 $ 474 $ ( 146 ) $ ( 1,719 ) $ — $ ( 1,379 )

Expense related to interest settlements on cash flow hedging relationships:

Interest settlements reclassified from AOCI into net income on derivatives $ — $ — $ — $ ( 3,523 ) $ — $ ( 3,523 )

Recognized on hedged items — — — ( 1,298 ) — ( 1,298 )

Discount amortization recognized on hedged items — — — ( 15 ) — ( 15 )

Expense recognized on cash flow hedges $ — $ — $ — $ ( 4,836 ) $ — $ ( 4,836 )

Gains on financial derivatives not designated in hedging relationships:

Losses on interest rate swaps $ — $ — $ — $ — $ ( 2,271 ) $ ( 2,271 )

Interest expense on interest rate swaps — — — — 3,322 3,322

Treasury futures — — — — 176 176

Gains on financial derivatives not designated in hedge relationships $ — $ — $ — $ — $ 1,227 $ 1,227

For The Six Months Ended June 30, 2020

Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives

Net Interest Income Non-Interest Income Total

Interest Income

17 unchanged sentences

Expense recognized on cash flow hedges $ — $ — $ ( 5,156 ) $ — $ ( 5,156 )

Losses on financial derivatives not designated in hedge relationships:

Losses on interest rate swaps $ — $ — $ — $ ( 6,550 ) $ ( 6,550 )

(Losses)/gains on financial derivatives not designated in hedge relationships:

Gains on interest rate swaps $ — $ — $ — $ 1,878 $ 1,878

Interest expense on interest rate swaps — — — ( 2,657 ) ( 2,657 )

Treasury futures — — — ( 1,996 ) ( 1,996 )

Losses on financial derivatives not designated in hedge relationships $ — $ — $ — $ ( 9,298 ) $ ( 9,298 )

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:

(Losses)/gains on financial derivatives not designated in hedge relationships $ — $ — $ — $ ( 2,775 ) $ ( 2,775 )

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

June 30, 2021 December 31, 2020 June 30, 2021 December 31, 2020

(in thousands)

Investment securities, Available-for-Sale, at fair value $ 28,815 $ — $ 188 $ —

Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value (1)

4 unchanged sentences

( 5,065,528 ) ( 3,006,140 ) ( 22,848 ) ( 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.

(1) Includes $ 1.4 million and $ 1.6 million of hedging adjustments on discontinued hedging relationships as of June 30, 2021 and December 31, 2020, respectively.

(2) Includes $ 1.4 million of hedging adjustments on a discontinued hedging relationship as of both June 30, 2021 and December 31, 2020.

(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:

March 31, 2021

The following table shows Farmer Mac's credit exposure to interest rate swap counterparties as of June 30, 2021 and December 31, 2020:

June 30, 2021

Gross Amount Recognized (1)

11 unchanged sentences

(1) Gross amount excludes netting arrangements and any adjustment for nonperformance risk, but includes accrued interest.

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.

As of June 30, 2021, Farmer Mac held $ 2.6 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 $ 8.4 million cash and $ 168.8 million of investment securities as of June 30, 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").

If Farmer Mac had breached certain provisions of the derivative contracts as of June 30, 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 June 30, 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 $ 16.0 billion notional amount of interest rate swaps outstanding as of June 30, 2021, $ 13.6 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.

During the first half of 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.

Farmer Mac classifies loans as either held for investment or held for sale.

1 unchanged sentence

Loans held for sale are reported at the lower of cost or fair value determined on a pooled

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:

As of March 31, 2021 As of December 31, 2020

As of both June 30, 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 June 30, 2021 and December 31, 2020:

As of June 30, 2021 As of December 31, 2020

Unsecuritized In Consolidated Trusts Total Unsecuritized In Consolidated Trusts Total

10 unchanged sentences

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:

March 31, 2021 December 31, 2020

The following table is a summary, by asset type, of the allowance for losses as of June 30, 2021 and December 31, 2020:

June 30, 2021 December 31, 2020

Allowance for Losses Allowance for Losses

3 unchanged sentences

Total $ 14,000 $ 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:

For the Three Months Ended

March 31, 2021 March 31, 2020

Allowance for Losses Allowance for Losses

The following is a summary of the changes in the allowance for losses for the three and six month period ended June 30, 2021 and 2020:

For the Three Months Ended For the Six Months Ended

June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020

Allowance for Losses Allowance for Losses Allowance for Losses Allowance for Losses

(in thousands)

Farm & Ranch:

Balance as of December 31 $ 3,745 $ 10,454

Beginning Balance $ 3,718 $ 7,353 $ 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

Adjusted Beginning Balance 3,718 7,353 3,745 6,545

Release of losses ( 626 ) ( 920 ) ( 653 ) ( 112 )

Charge-offs — ( 394 ) — ( 394 )

2 unchanged sentences

Rural Utilities:

Balance as of December 31 $ 10,087 $ —

Beginning Balance $ 11,089 $ 7,503 $ 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

Adjusted Beginning Balance 11,089 7,503 10,087 5,378

(Release of)/provision for losses ( 181 ) 1,397 821 3,522

Charge-offs — — — —

1 unchanged sentence

$ 10,908 $ 8,900 $ 10,908 $ 8,900

(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

(1) As of June 30, 2021 and 2020, allowance for losses for Farm & Ranch includes no allowance and $ 1.8 million, respectively, for collateral dependent assets secured by agricultural real estate.

(2) As of both June 30, 2021 and 2020, allowance for losses for Rural Utilities includes no allowance for collateral dependent assets.

The release from the allowance for Rural Utilities loan losses of $ 0.2 million recorded during second quarter 2021 was primarily attributable to the impact of improving economic factor forecasts, specifically expectations for unemployment.

The $ 0.6 million release from the allowance for the Farm & Ranch portfolio during second quarter 2021 was primarily attributable to improving economic factor forecasts, particularly agricultural commodity prices.

The small net provision recorded to the allowance for the six months ended June 30, 2021, was primarily a result of the impact of the Texas Arctic Freeze on the Rural Utilities portfolio, partially offset by improving economic factor forecasts.

The provision to the allowance for loan losses of $ 0.5 million recorded during second quarter 2020 was

primarily due to the impact of net new loan volume in the Rural Utilities portfolio of $ 311.8 million.

impact of the Rural Utilities portfolio on the net increase to the provision was partially offset by

improving economic factors that uniquely impacted the Farm & Ranch portfolio, specifically

improvements in commodity prices and expectations for stable farm land values.

In addition, there was a

$ 0.4 million charge-off to the allowance related to the acquisition of a new real estate owned property

("REO") during second quarter 2020.

The provision to the allowance for loan losses of $ 3.4 million recorded during the six months ended June

30, 2020 was primarily due to the impact of net new loan volume in the Rural Utilities portfolio and the

impact of economic factor forecasts on the Rural Utilities portfolio, especially expected higher

unemployment, as a result of the COVID-19 pandemic and the resulting economic volatility.

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:

As of March 31, 2021

The following table presents the unpaid principal balances by delinquency status of Farmer Mac's loans and non-performing assets as of June 30, 2021 and December 31, 2020:

As of June 30, 2021

Current 30-59 Days 60-89 Days 90 Days and Greater (2)

8 unchanged sentences

(4) Includes $ 58.4 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.

During the three and six months ended June 30, 2021, Farmer Mac received $ 1.9 million and $ 3.0 million, respectively, in interest on nonaccrual loans.

As of December 31, 2020

11 unchanged sentences

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:

As of March 31, 2021

The following tables present credit quality indicators related to Farm & Ranch loans and Rural Utilities loans held as of June 30, 2021 and December 31, 2020, by year of origination:

As of June 30, 2021

Year of Origination:

9 unchanged sentences

Total $ 1,128,706 $ 1,970,079 $ 764,412 $ 454,171 $ 418,099 $ 1,334,124 $ 531,614 $ 6,601,205

For the Three Months Ended March 31, 2021:

For the Three Months Ended June 30, 2021:

Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

1 unchanged sentence

Current period Farm & Ranch net charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

For the Six Months Ended June 30, 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.

1 unchanged sentence

(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 March 31, 2021

As of June 30, 2021

Year of Origination:

9 unchanged sentences

Total $ 21,022 $ 658,542 $ 792,333 $ 8,180 $ 89,488 $ 648,818 $ 28,185 $ 2,246,568

For the Three Months Ended March 31, 2021:

For the Three Months Ended June 30, 2021:

Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

1 unchanged sentence

Current period Rural Utilities net charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

For the Six Months Ended June 30, 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.

13 unchanged sentences

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:

For the Three Months Ended June 30, 2020:

Current period charge-offs $ — $ — $ — $ — $ — $ 394 $ — $ 394

1 unchanged sentence

Current period Farm & Ranch net charge-offs $ — $ — $ — $ — $ — $ 394 $ — $ 394

For the Six Months Ended June 30, 2020:

Current period charge-offs $ — $ — $ — $ — $ — $ 394 $ — $ 394

Current period recoveries — — — — — — — —

Current period Farm & Ranch net charge-offs $ — $ — $ — $ — $ — $ 394 $ — $ 394

(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.

13 unchanged sentences

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:

For the Three Months Ended June 30, 2020:

Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

1 unchanged sentence

Current period Rural Utilities net charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

For the Six Months Ended June 30, 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.

1 unchanged sentence

(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.

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:

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 June 30, 2021 and December 31, 2020, not including offsets provided by any recourse provisions, recoveries from third parties, or collateral for the underlying loans:

Outstanding Balance of Off-Balance Sheet Farmer Mac Guaranteed Securities

As of March 31, 2021 As of December 31, 2020

As of June 30, 2021 As of December 31, 2020

(in thousands)

8 unchanged sentences

The following table summarizes the significant cash flows received from and paid to trusts used for Farmer Mac securitizations:

For the Three Months Ended

March 31, 2021 March 31, 2020

For the Six Months Ended

June 30, 2021 June 30, 2020

(in thousands)

3 unchanged sentences

The following table presents the liability and the weighted-average remaining maturity of all loans underlying off-balance sheet Farmer Mac Guaranteed Securities:

As of March 31, 2021 As of December 31, 2020

As of June 30, 2021 As of December 31, 2020

(dollars in thousands)

6 unchanged sentences

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:

As of March 31, 2021 As of December 31, 2020

As of June 30, 2021 As of December 31, 2020

(dollars in thousands)

5 unchanged sentences

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:

March 31, 2021 December 31, 2020

The following table is a summary, by asset type, of the reserve for losses as of June 30, 2021 and December 31, 2020:

June 30, 2021 December 31, 2020

Reserve for Losses Reserve for Losses

5 unchanged sentences

Total $ 2,111 $ 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:

For the Three Months Ended

March 31, 2021 March 31, 2020

Reserve for Losses Reserve for Losses

The following is a summary of the changes in the reserve for losses for the three and six month period ended June 30, 2021 and 2020:

For the Three Months Ended For the Six Months Ended

June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020

Reserve for Losses Reserve for Losses Reserve for Losses Reserve for Losses

(in thousands)

Farm & Ranch:

Balance as of December 31, $ 2,097 $ 2,164

Beginning Balance $ 1,366 $ 2,020 $ 2,097 $ 2,164

Cumulative effect adjustment from adoption of current expected credit loss standard — — — ( 148 )

Adjusted Beginning Balance 1,366 2,020 2,097 2,016

(Release of)/provision for losses $ ( 731 ) $ 4

Release of losses ( 172 ) ( 370 ) ( 903 ) ( 366 )

Charge-offs — — — —

1 unchanged sentence

Rural Utilities:

Balance as of December 31, $ 1,180 $ —

Beginning Balance $ 967 $ 1,400 $ 1,180 $ —

Cumulative effect adjustment from adoption of current expected credit loss standard — — — 1,011

3 unchanged sentences

Ending Balance $ 917 $ 1,370 $ 917 $ 1,370

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 from the reserve for losses in the Rural Utilities LTSPC portfolio recorded during the three and six months ended June 30, 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.

The release from the reserve for losses recorded during the three and six months ended June 30, 2020 was

primarily due to the net decreases in LTSPC volume of $ 58.5 million and $ 119.3 million, respectively.

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:

As of March 31, 2021

Farm & Ranch Farmer Mac Guaranteed Securities, Rural Utilities loans underlying LTSPCs, and non-performing assets as of June 30, 2021 and December 31, 2020:

As of June 30, 2021

Current 30-59 Days 60-89 Days 90 Days and Greater (1)

16 unchanged sentences

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:

As of March 31, 2021

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 June 30, 2021 and December 31, 2020, by year of origination:

As of June 30, 2021

Year of Origination:

9 unchanged sentences

Total $ 176,513 $ 275,039 $ 199,478 $ 194,972 $ 232,127 $ 1,163,601 $ 213,217 $ 2,454,947

For the Three Months Ended March 31, 2021:

For the Three Months Ended June 30, 2021:

Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

1 unchanged sentence

Current period Farm & Ranch net charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

For the Six Months Ended June 30, 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

As of June 30, 2021

Year of Origination:

9 unchanged sentences

Total $ — $ — $ — $ — $ — $ 520,145 $ 13,314 $ 533,459

For the Three Months Ended March 31, 2021:

For the Three Months Ended June 30, 2021:

Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

1 unchanged sentence

Current period Rural Utilities net charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

For the Six Months Ended June 30, 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.

12 unchanged sentences

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:

For the Three Months Ended June 30, 2020:

Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

1 unchanged sentence

Current period Farm & Ranch net charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

For the Six Months Ended June 30, 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.

12 unchanged sentences

Total $ — $ — $ — $ — $ — $ 549,405 $ 7,020 $ 556,425

For the Three Months Ended March 31, 2020:

For the Three Months Ended June 30, 2020:

Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

1 unchanged sentence

Current period Rural Utilities net charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

For the Six Months Ended June 30, 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.

3 unchanged sentences

Discount notes generally have original maturities of 1.0 year or less, whereas medium-term notes generally have maturities of 0.5 years to 25.0 years.

The following tables set forth information related to Farmer Mac's borrowings as of March 31, 2021 and December 31, 2020:

March 31, 2021

Outstanding as of March 31 Average Outstanding During the Quarter

The following tables set forth information related to Farmer Mac's borrowings as of June 30, 2021 and December 31, 2020:

June 30, 2021

Outstanding as of June 30 Average Outstanding During the Quarter

Amount Weighted- Average Rate Amount Weighted- Average Rate

36 unchanged sentences

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.

The maximum amount of Farmer Mac's discount notes outstanding at any month end during the six months ended June 30, 2021 and 2020 was $ 1.9 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:

Debt Callable in 2021 as of March 31, 2021, by Maturity

The following table summarizes by maturity date the amounts and costs for Farmer Mac debt callable in 2021 as of June 30, 2021:

Debt Callable in 2021 as of June 30, 2021, by Maturity

Amount Weighted-Average Rate

6 unchanged sentences

Total $ 1,591,453 1.10 %

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:

The following schedule summarizes the earliest interest rate reset date, or debt maturities, of total borrowings outstanding as of June 30, 2021, including callable and non-callable medium-term notes, assuming callable notes are redeemed at the initial call date:

Earliest Interest Rate Reset Date, or Debt Maturities, of Borrowings Outstanding

9 unchanged sentences

Total principal net of discounts $ 21,683,406 0.87 %

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.

During the six months ended June 30, 2021 and 2020, Farmer Mac called $ 1.6 billion and $ 1.9 billion of callable medium-term notes, respectively.

Authority to Borrow from the U.S.

4 unchanged sentences

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.

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.

As of June 30, 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.

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.

No outstanding debt repurchases were made in the six months ended June 30, 2021 or 2020.

Preferred Stock

In May 2021, Farmer Mac issued 5.0 million shares of 4.875 % non-cumulative perpetual Series G

preferred stock, par value $ 25.00 per share.

Farmer Mac incurred direct costs of $ 3.7 million related to

the issuance of the Series G preferred stock.

The dividend rate on the Series G preferred stock will remain

at a non-cumulative, fixed rate of 4.875 % per year, when, as, and if a dividend is declared by the Board of

Directors of Farmer Mac, for so long as the Series G preferred stock remains outstanding.

preferred stock has no maturity date, but Farmer Mac has the option to redeem the preferred stock at any

time on any dividend payment date on and after July 17, 2026.

During first and second 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

repurchase up to $ 10.0 million of Farmer Mac's outstanding Class C non-voting common stock.

The share repurchase program, last modified on March 14, 2019, authorized Farmer Mac to 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.

1 unchanged sentence

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.

Farmer Mac did no t repurchase any shares of its Class C non-voting common stock during the first half of 2021.

As of June 30, 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.

As of both June 30, 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 June 30, 2021, Farmer Mac's minimum capital requirement was $ 680.8 million and its core capital level was $ 1.2 billion, which was $ 482.6 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.

2 unchanged sentences

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:

Assets and Liabilities Measured at Fair Value as of March 31, 2021

The following tables present information about Farmer Mac's assets and liabilities measured at fair value on a recurring basis as of June 30, 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:

Assets and Liabilities Measured at Fair Value as of June 30, 2021

Level 1 Level 2 Level 3 (1)

44 unchanged sentences

(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.

There were no significant assets or liabilities measured at fair value on a non-recurring basis as of June 30, 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.

During the six months ended June 30, 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.

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.

Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended March 31, 2021

There were no liabilities measured at fair value using significant unobservable inputs during the three and six months ended June 30, 2021 and 2020.

Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended June 30, 2021

Beginning Balance Purchases Sales Settlements Allowance for Losses Realized and

unrealized gains/(losses) included

in Income Unrealized gains/(losses)

included in Other

Comprehensive

Income Ending Balance

(in thousands)

Investment Securities:

Available-for-sale:

Floating rate auction-rate certificates backed by Government guaranteed student loans $ 19,146 $ — $ — $ — $ 3 $ — $ 99 $ 19,248

Total available-for-sale 19,146 — — — 3 — 99 19,248

Farmer Mac Guaranteed Securities:

Available-for-sale:

AgVantage 6,763,209 417,500 — ( 310,403 ) ( 93 ) 49,939 ( 42,747 ) 6,877,405

Total available-for-sale 6,763,209 417,500 — ( 310,403 ) ( 93 ) 49,939 ( 42,747 ) 6,877,405

USDA Securities:

Trading 5,578 — — ( 467 ) — ( 61 ) — 5,050

Total USDA Securities 5,578 — — ( 467 ) ( 61 ) — 5,050

Total Assets at fair value $ 6,787,933 $ 417,500 $ — $ ( 310,870 ) $ ( 90 ) $ 49,878 $ ( 42,648 ) $ 6,901,703

Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended June 30, 2020

Beginning Balance Purchases Sales Settlements Allowance for Losses Realized and

unrealized gains/(losses) included

in Income Unrealized gains

included in Other

Comprehensive

Income Ending Balance

(in thousands)

Investment Securities:

Available-for-sale:

Floating rate auction-rate certificates backed by Government guaranteed student loans $ 16,721 $ — $ — $ — $ ( 15 ) $ — $ 1,577 $ 18,283

Total available-for-sale 16,721 — — — ( 15 ) — 1,577 18,283

Farmer Mac Guaranteed Securities:

Available-for-sale:

AgVantage 7,587,186 351,896 — ( 85,261 ) ( 69 ) 9,050 35,585 7,898,387

Total available-for-sale 7,587,186 351,896 — ( 85,261 ) ( 69 ) 9,050 35,585 7,898,387

USDA Securities:

Trading 8,408 — — ( 602 ) — ( 20 ) — 7,786

Total USDA Securities 8,408 — — ( 602 ) ( 20 ) — 7,786

Total Assets at fair value $ 7,612,315 $ 351,896 $ — $ ( 85,863 ) $ ( 84 ) $ 9,030 $ 37,162 $ 7,924,456

Level 3 Assets and Liabilities Measured at Fair Value for the Six Months Ended June 30, 2021

Beginning Balance Purchases Sales Settlements Allowance for Losses Realized and

unrealized losses included

16 unchanged sentences

Total Assets at fair value $ 6,973,567 $ 578,115 $ — $ ( 555,805 ) $ 67 $ ( 118,878 ) $ 24,637 $ 6,901,703

Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended March 31, 2020

Level 3 Assets and Liabilities Measured at Fair Value for the Six Months Ended June 30, 2020

Beginning Balance Purchases Sales Settlements Allowance for Losses Realized and

17 unchanged sentences

Total Assets at fair value $ 7,170,850 $ 835,476 $ — $ ( 313,729 ) $ ( 272 ) $ 299,515 $ ( 67,384 ) $ 7,924,456

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:

As of March 31, 2021

As of June 30, 2021

Financial Instruments Fair Value Valuation Technique Unobservable Input Range (Weighted-Average)

25 unchanged sentences

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:

As of March 31, 2021 As of December 31, 2020

The following table sets forth the estimated fair values and carrying values for financial assets, liabilities, and guarantees and commitments as of June 30, 2021 and December 31, 2020:

As of June 30, 2021 As of December 31, 2020

Fair Value Carrying

28 unchanged sentences

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:

The following tables present core earnings for Farmer Mac's operating segments and a reconciliation to consolidated net income for the three and six months ended June 30, 2021 and 2020:

Core Earnings by Business Segment

For the Three Months Ended March 31, 2021

For the Three Months Ended June 30, 2021

Farm & Ranch USDA Guarantees Rural

25 unchanged sentences

(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.

(3) Includes the reclassification of interest expense related to interest rate swaps not designated as hedges, which are included in "(Losses)/gains 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.

4 unchanged sentences

Core Earnings by Business Segment

For the Three Months Ended March 31, 2020

For the Three Months Ended June 30, 2020

Farm & Ranch USDA Guarantees Rural

25 unchanged sentences

(4) Includes directly attributable costs and an allocation of indirectly attributable costs based on employee headcount.

3 unchanged sentences

and segment core earnings reconciled to net income attributable to common stockholders.

Core Earnings by Business Segment

For the Six Months Ended June 30, 2021

Farm & Ranch USDA Guarantees Rural

Institutional Credit Corporate Reconciling

Adjustments Consolidated Net Income

(in thousands)

Net interest income $ 45,912 $ 11,778 $ 12,977 $ 32,417 $ 5,296 $ — $ 108,380

reconciling adjustments (1)(2)(3)

( 480 ) 1,571 312 387 240 ( 2,030 ) —

Net effective spread 45,432 13,349 13,289 32,804 5,536 ( 2,030 ) —

Guarantee and commitment fees (2)

7,572 356 636 10 — ( 2,547 ) 6,027

Other income/(expense) (3)

713 289 1 — ( 251 ) 1,418 2,170

Non-interest income/(loss) 8,285 645 637 10 ( 251 ) ( 1,129 ) 8,197

Release of/(provision for) losses 653 — ( 821 ) 38 ( 22 ) — ( 152 )

Release of reserve for losses 903 — 263 — — — 1,166

Other non-interest expense ( 12,404 ) ( 4,796 ) ( 3,895 ) ( 4,906 ) ( 9,758 ) — ( 35,759 )

Non-interest expense (4)

( 11,501 ) ( 4,796 ) ( 3,632 ) ( 4,906 ) ( 9,758 ) — ( 34,593 )

Core earnings before income taxes 42,869 9,198 9,473 27,946 ( 4,495 ) ( 3,159 ) (5)

Income tax (expense)/benefit ( 9,002 ) ( 1,932 ) ( 1,989 ) ( 5,869 ) 809 664 ( 17,319 )

Core earnings before preferred stock dividends 33,867 7,266 7,484 22,077 ( 3,686 ) ( 2,495 ) (5)

Preferred stock dividends — — — — ( 11,111 ) — ( 11,111 )

Loss on retirement of preferred stock — — — — — — —

Segment core earnings/(losses) $ 33,867 $ 7,266 $ 7,484 $ 22,077 $ ( 14,797 ) $ ( 2,495 ) (5)

Total assets at carrying value $ 6,716,880 $ 2,506,410 $ 2,272,425 $ 7,926,520 $ 4,759,010 $ — $ 24,181,245

Total on- and off-balance sheet program assets at principal balance $ 9,056,152 $ 2,726,909 $ 2,780,027 $ 7,634,073 $ — $ — $ 22,197,161

(1) Includes the amortization of premiums and discounts on assets consolidated at fair value, originally included in interest income, to reflect core earnings amounts.

(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.

Core Earnings by Business Segment

For the Six Months Ended June 30, 2020

Farm & Ranch USDA Guarantees Rural

Utilities Institutional Credit Corporate Reconciling

Consolidated Net Income

(in thousands)

Net interest income $ 35,675 $ 9,944 $ 7,069 $ 33,888 $ 3,084 $ — $ 89,660

reconciling adjustments (1)(2)(3)

( 4,004 ) ( 630 ) 3,367 2,596 ( 357 ) ( 972 ) —

Net effective spread 31,671 9,314 10,436 36,484 2,727 ( 972 ) —

Guarantee and commitment fees (2)

8,711 445 667 16 — ( 3,503 ) 6,336

Other income/(expense) (3)

1,754 729 12 — ( 288 ) ( 2,367 ) ( 160 )

Non-interest income/(loss) 10,465 1,174 679 16 ( 288 ) ( 5,870 ) 6,176

Provision for loan losses 112 — ( 3,522 ) ( 450 ) ( 29 ) — ( 3,889 )

Provision for reserve for losses 366 — ( 359 ) — — — 7

Other non-interest expense ( 11,251 ) ( 3,402 ) ( 2,990 ) ( 4,446 ) ( 8,233 ) — ( 30,322 )

Non-interest expense (4)

( 10,885 ) ( 3,402 ) ( 3,349 ) ( 4,446 ) ( 8,233 ) — ( 30,315 )

Core earnings before income taxes 31,363 7,086 4,244 31,604 ( 5,823 ) ( 6,842 ) (5)

Income tax (expense)/benefit ( 6,586 ) ( 1,488 ) ( 891 ) ( 6,637 ) 988 1,438 ( 13,176 )

Core earnings before preferred stock dividends 24,777 5,598 3,353 24,967 ( 4,835 ) ( 5,404 ) (5)

Preferred stock dividends — — — — ( 7,370 ) — ( 7,370 )

Segment core earnings/(losses) $ 24,777 $ 5,598 $ 3,353 $ 24,967 $ ( 12,205 ) $ ( 5,404 ) (5)

Total assets at carrying value $ 5,746,556 $ 2,408,713 $ 2,281,490 $ 9,049,393 $ 4,446,504 $ — $ 23,932,656

Total on- and off-balance sheet program assets at principal balance $ 8,017,850 $ 2,677,807 $ 2,691,621 $ 8,654,830 $ — $ — $ 22,042,108

(1) Includes the amortization of premiums and discounts on assets consolidated at fair value, originally included in interest income, to reflect core earnings amounts.

(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.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements