What changed in this filing

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Item 1. Financial Statements

2022-08-08 compared with 2022-05-09 · 438 added, 177 removed, 1207 unchanged (34% of the section changed)

2 unchanged sentences

CONSOLIDATED BALANCE SHEETS

March 31, 2022 December 31, 2021

June 30, 2022 December 31, 2021

(in thousands)

15 unchanged sentences

Total USDA Securities 2,433,105 2,440,732

Loans held for sale, at lower of cost or fair value 9,000 —

Loans held for investment, at amortized cost 8,911,475 8,314,096

43 unchanged sentences

CONSOLIDATED STATEMENTS OF OPERATIONS

For the Three Months Ended

March 31, 2022 March 31, 2021

For the Three Months Ended For the Six Months Ended

June 30, 2022 June 30, 2021 June 30, 2022 June 30, 2021

(in thousands, except per share amounts)

6 unchanged sentences

Net interest income 69,402 55,129 131,277 108,380

Provision for losses ( 56 ) ( 913 )

Net interest income after provision for losses 61,819 52,338

Release of/(provision for) losses 1,372 761 1,316 ( 152 )

Net interest income after release of/(provision for) losses 70,774 55,890 132,593 108,228

Non-interest income/(expense):

Guarantee and commitment fees 3,213 2,997 6,908 6,027

Gains on financial derivatives 16,074 4,293

Losses on trading securities ( 63 ) ( 13 )

Gains/(losses) on financial derivatives 3,418 ( 3,066 ) 19,492 1,227

Gains/(losses) on trading securities 29 ( 62 ) ( 34 ) ( 75 )

Release of reserve for losses 163 222 273 1,166

17 unchanged sentences

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME

For the Three Months Ended

March 31, 2022 March 31, 2021

For the Three Months Ended For the Six Months Ended

June 30, 2022 June 30, 2021 June 30, 2022 June 30, 2021

(in thousands

Net income $ 45,896 $ 31,286 $ 93,733 $ 64,513

Other comprehensive (loss)/incomes:

Other comprehensive (loss)/income:

Net unrealized (losses)/gains on available-for-sale securities ( 30,179 ) ( 37,389 ) ( 116,446 ) 28,975

Net changes in held-to-maturity securities 865 ( 1,653 ) 842 ( 3,810 )

Net unrealized gains on cash flow hedges 31,204 18,916

Net unrealized gains/(losses) on cash flow hedges 16,884 ( 5,274 ) 48,088 13,641

Other comprehensive (loss)/income before tax ( 12,430 ) ( 44,316 ) ( 67,516 ) 38,806

1 unchanged sentence

Other comprehensive (loss)/income net of tax ( 9,819 ) ( 35,011 ) ( 53,337 ) 30,656

Comprehensive income $ 4,319 $ 98,894

Comprehensive income/(loss) $ 36,077 $ ( 3,725 ) $ 40,396 $ 95,169

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

16 unchanged sentences

Balance as of March 31, 2022 19,980 $ 484,531 10,788 $ 10,788 $ 127,103 $ ( 39,665 ) $ 610,087 $ 1,192,844

Net Income — — — — — — 45,896 45,896

Other comprehensive loss, net of tax — — — — — ( 9,819 ) — ( 9,819 )

Cash dividends:

Preferred stock — — — — — — ( 6,792 ) ( 6,792 )

Common stock (cash dividend of $ 0.95 per share)

— — — — — — ( 10,256 ) ( 10,256 )

Issuance of Class C Common Stock — — 9 9 46 — — 55

Stock-based compensation cost — — — — 862 — — 862

Other stock-based award activity — — — — ( 442 ) — — ( 442 )

Balance as of June 30, 2022 19,980 $ 484,531 10,797 $ 10,797 $ 127,569 $ ( 49,484 ) $ 638,935 $ 1,212,348

Balance as of December 31, 2020 14,980 $ 363,204 10,737 $ 10,737 $ 122,899 $ ( 13,923 ) $ 509,560 $ 992,477

9 unchanged sentences

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

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

1 unchanged sentence

CONSOLIDATED STATEMENTS OF CASH FLOW

For the Three Months Ended

March 31, 2022 March 31, 2021

For the Six Months Ended

June 30, 2022 June 30, 2021

(in thousands)

5 unchanged sentences

Net change in fair value of trading securities, hedged assets, and financial derivatives 461,598 178,314

Total (release of)/provision for allowance for losses ( 54 ) ( 31 )

Total release of allowance for losses ( 1,589 ) ( 1,014 )

Excess tax benefits related to stock-based awards ( 64 ) 292

19 unchanged sentences

Proceeds from repayment of loans purchased as held for investment 726,196 1,014,805

Proceeds from sale of loans previously classified as held for investment 9,000 —

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

Proceeds from sale of Farmer Mac Guaranteed Securities 25,928 49,133

7 unchanged sentences

Proceeds from common stock issuance 92 25

Proceeds from preferred stock issuance, net of stock issuance costs — 121,327

Tax payments related to share-based awards ( 1,460 ) ( 1,305 )

8 unchanged sentences

Reclassification of defaulted loans from loans held for investment in consolidated trusts to loans held for investment 569 23,463

Reclassification of loans held for investment to loans held for sale 9,000 —

Capitalized interest 443 1,037

Securities payment not yet received ( 1,566 ) —

Charge-off from the allowance for losses 84 —

Purchases of securities - traded, not yet settled 348,020 7,502

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

22 unchanged sentences

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

updated information for the three months ended March 31, 2022.

updated information for the three and six months ended June 30, 2022.

Principles of Consolidation

4 unchanged sentences

Consolidation of Variable Interest Entities

As of March 31, 2022

As of June 30, 2022

Agricultural Finance Treasury Total

21 unchanged sentences

(1) Includes borrower remittances of $ 31.2 million.

The borrower remittances had not been passed through to third-party investors as of March 31, 2022.

The borrower remittances had not been passed through to third-party investors as of June 30, 2022.

(2) Farmer Mac uses unpaid principal balance and outstanding face amount of investment securities to represent maximum exposure to loss.

33 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, 2022 and 2021:

The following schedule reconciles basic and diluted EPS for the three and six months ended June 30, 2022 and 2021:

For the Three Months Ended

March 31, 2022 March 31, 2021

June 30, 2022 June 30, 2021

Income Weighted-Average Shares $ per

5 unchanged sentences

Diluted EPS $ 39,104 10,864 $ 3.60 $ 25,444 10,838 $ 2.35

(1) For the three months ended March 31, 2022 and 2021, SARs and restricted stock of 50,005 and 99,684 , 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, 2022 and 2021 contingent shares of unvested restricted stock of 18,535 and 18,183 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, 2022 and 2021, SARs and restricted stock of 42,922 and 29,043 , 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, 2022 and 2021 contingent shares of unvested restricted stock of 18,535 and 18,183 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, 2022 June 30, 2021

Income Weighted-Average Shares $ per

(in thousands, except per share amounts)

Net income attributable to common stockholders $ 80,150 10,782 $ 7.43 $ 53,402 10,751 $ 4.96

Effect of dilutive securities (1)

SARs and restricted stock — 94 ( 0.06 ) — 78 ( 0.03 )

Diluted EPS $ 80,150 10,876 $ 7.37 $ 53,402 10,829 $ 4.93

(1) For the six months ended June 30, 2022 and 2021, SARs and restricted stock of 46,464 and 64,364 , 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, 2022 and 2021 contingent shares of unvested restricted stock of 18,535 and 18,183 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, 2022 and 2021.

As of March 31, 2022 As of March 31, 2021

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, 2022 and 2021.

As of June 30, 2022 As of June 30, 2021

Available-for-Sale Securities Held-to-Maturity Securities Cash Flow Hedges Total Available-for-Sale Securities Held-to-Maturity Securities Cash Flow Hedges Total

6 unchanged sentences

Ending Balance $ ( 98,924 ) $ 16,818 $ 32,622 $ ( 49,484 ) $ 8,954 $ 19,819 $ ( 12,040 ) $ 16,733

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, 2022 and 2021:

For the Six Months Ended

Beginning Balance $ ( 6,932 ) $ 16,153 $ ( 5,368 ) $ 3,853 $ ( 13,937 ) $ 22,829 $ ( 22,815 ) $ ( 13,923 )

Other comprehensive (loss)/income before reclassifications ( 91,986 ) — 35,489 ( 56,497 ) 24,459 — 7,993 32,452

Amounts reclassified from AOCI ( 6 ) 665 2,501 3,160 ( 1,568 ) ( 3,010 ) 2,782 ( 1,796 )

Net comprehensive (loss)/income ( 91,992 ) 665 37,990 ( 53,337 ) 22,891 ( 3,010 ) 10,775 30,656

Ending Balance $ ( 98,924 ) $ 16,818 $ 32,622 $ ( 49,484 ) $ 8,954 $ 19,819 $ ( 12,040 ) $ 16,733

For the Three Months Ended

March 31, 2022 March 31, 2021

June 30, 2022 June 30, 2021

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

2 unchanged sentences

Available-for-sale-securities:

Unrealized holding losses on available-for-sale securities $ ( 30,176 ) $ ( 6,337 ) $ ( 23,839 ) $ ( 36,395 ) $ ( 7,644 ) $ ( 28,751 )

Less reclassification adjustments included in:

Net interest income (1)

— — — ( 987 ) ( 207 ) ( 780 )

Other income (2)

( 3 ) ( 1 ) ( 2 ) ( 7 ) ( 1 ) ( 6 )

Total $ ( 30,179 ) $ ( 6,338 ) $ ( 23,841 ) $ ( 37,389 ) $ ( 7,852 ) $ ( 29,537 )

Held-to-maturity securities:

Less reclassification adjustments included in:

Net interest income (3)

865 181 684 ( 1,653 ) ( 347 ) ( 1,306 )

Total $ 865 $ 181 $ 684 $ ( 1,653 ) $ ( 347 ) $ ( 1,306 )

Cash flow hedges

Unrealized gains/(losses) on cash flow hedges $ 15,729 $ 3,303 $ 12,426 $ ( 7,050 ) $ ( 1,480 ) $ ( 5,570 )

Less reclassification adjustments included in:

Net interest income (4)

1,155 243 912 1,776 374 1,402

Total $ 16,884 $ 3,546 $ 13,338 $ ( 5,274 ) $ ( 1,106 ) $ ( 4,168 )

Other comprehensive loss $ ( 12,430 ) $ ( 2,611 ) $ ( 9,819 ) $ ( 44,316 ) $ ( 9,305 ) $ ( 35,011 )

(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, 2022 June 30, 2021

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

(in thousands)

Other comprehensive income:

Available-for-sale-securities:

Unrealized holding (losses)/gains on available-for-sale securities $ ( 116,439 ) $ ( 24,453 ) $ ( 91,986 ) $ 30,961 $ 6,502 $ 24,459

31 unchanged sentences

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.

Farmer Mac is exploring the adoption of additional optional expedients, including contract modification relief, and is not expected to have a material effect on Farmer Mac's financial position, results of operations, or cash flows.

Recently Issued Accounting Guidance

9 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, 2022 and December 31, 2021:

As of March 31, 2022

The following tables set forth information about Farmer Mac's available-for-sale and held-to-maturity investment securities as of June 30, 2022 and December 31, 2021:

As of June 30, 2022

Amount Outstanding Unamortized Premium/(Discount) Amortized

14 unchanged sentences

Total held-to-maturity $ 45,032 $ — $ 45,032 $ — $ — $ ( 361 ) $ 44,671

(1) Amounts presented exclude $ 3.9 million of accrued interest receivable on investment securities as of March 31, 2022.

(1) Amounts presented exclude $ 4.3 million of accrued interest receivable on investment securities as of June 30, 2022.

(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, 2022.

(3) The held-to-maturity investment securities had a weighted average yield of 1.8 % as of June 30, 2022.

As of December 31, 2021

19 unchanged sentences

(3) The held-to-maturity investment securities had a weighted average yield of 1.5 % as of December 31, 2021.

Farmer Mac did no t sell any securities from its available-for-sale investment portfolio during the three months ended March 31, 2022 and 2021.

As of March 31, 2022 and December 31, 2021, unrealized losses on available-for-sale investment securities were as follows:

As of March 31, 2022

Farmer Mac did no t sell any securities from its available-for-sale investment portfolio during the three and six months ended June 30, 2022.

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 .

As of June 30, 2022 and December 31, 2021, unrealized losses on available-for-sale investment securities were as follows:

As of June 30, 2022

Available-for-Sale Securities

27 unchanged sentences

Number of securities in loss position 69 24

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, 2022 and December 31, 2021, 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, 2022 and December 31, 2021, 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, 2022 and December 31, 2021, 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, 2022 and December 31, 2021, 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, 2022 that is, on average, approximately 98.4 % of their amortized cost basis.

Securities in unrealized loss positions for 12 months or longer have a fair value as of June 30, 2022 that is, on average, approximately 97.7 % 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, 2022 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, 2022 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, 2022

As of June 30, 2022

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, 2022 and December 31, 2021:

As of March 31, 2022

The following tables set forth information about on-balance sheet Farmer Mac Guaranteed Securities and USDA Securities as of June 30, 2022 and December 31, 2021:

As of June 30, 2022

Unpaid Principal Balance Unamortized Premium/(Discount) Amortized

16 unchanged sentences

$ 2,248 $ 93 $ 2,341 $ — $ — $ ( 66 ) $ 2,275

(1) Amounts presented exclude $ 35.8 million, $ 34.5 million, and $ 0.1 million of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of March 31, 2022.

(1) Amounts presented exclude $ 36.4 million, $ 34.0 million, and $ 0.1 million of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of June 30, 2022.

(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.

1 unchanged sentence

(3) Fair value includes $ 9.8 million of an interest-only security with a notional amount of $ 255.7 million.

(4) The trading USDA securities had a weighted average yield of 5.06 % as of March 31, 2022.

(4) The trading USDA securities had a weighted average yield of 4.96 % as of June 30, 2022.

As of December 31, 2021

22 unchanged sentences

(4) The trading USDA securities had a weighted average yield of 5.05 % as of December 31, 2021.

As of March 31, 2022 and December 31, 2021, 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, 2022

As of June 30, 2022 and December 31, 2021, 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, 2022

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

28 unchanged sentences

AgVantage $ 1,867,364 $ ( 17,263 ) $ 90,971 $ ( 2,747 )

The unrealized losses presented above are principally due to changes in interest rates from the date of acquisition to March 31, 2022 and December 31, 2021, as applicable.

The unrealized losses on the held-to-maturity USDA Securities as of both March 31, 2022 and December 31, 2021 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, 2022 and December 31, 2021, as applicable.

The unrealized losses on the held-to-maturity USDA Securities as of both June 30, 2022 and December 31, 2021 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 Securities in the Agricultural Finance line of business is covered by the full faith and credit guarantee of the United States of America.

The unrealized losses from AgVantage securities were on 31 and 13 available-for-sale securities as of March 31, 2022 and December 31, 2021, respectively.

There were 38 and 10 held-to-maturity AgVantage securities with an unrealized loss as of March 31, 2022 and December 31, 2021, respectively.

As of March 31, 2022 and December 31, 2021, 4 and 2 available-for-sale AgVantage securities, respectively, had been in a loss position for more than 12 months.

As of March 31, 2022, there were 2 held-to-maturity AgVantage securities in a loss position for more than 12 months.

The unrealized losses from AgVantage securities were on 64 and 13 available-for-sale securities as of June 30, 2022 and December 31, 2021, respectively.

There were 44 and 10 held-to-maturity AgVantage securities with an unrealized loss as of June 30, 2022 and December 31, 2021, respectively.

As of June 30, 2022 and December 31, 2021, 9 and 2 available-for-sale AgVantage securities, respectively, had been in a loss position for more than 12 months.

As of June 30, 2022, there were 2 held-to-maturity AgVantage securities in a loss position for more than 12 months.

As of December 31, 2021, there were no held-to-maturity AgVantage securities in a loss position for more than 12 months.

During the three months ended March 31, 2022 and 2021, 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, 2022 are set forth below.

During the three and six months ended June 30, 2022 and 2021, Farmer Mac had no sales of AgVantage Farmer Mac Guaranteed Securities, USDA Farmer Mac Guaranteed Securities or USDA Trading Securities and, therefore, Farmer Mac realized no gains or losses.

The balances presented are based on their contractual maturities, although the actual maturities may differ due to prepayments of the underlying assets.

As of March 31, 2022

As of June 30, 2022

Available-for-Sale Securities

7 unchanged sentences

(1) Amounts presented exclude $ 36.4 million of accrued interest receivable.

As of March 31, 2022

As of June 30, 2022

Held-to-Maturity Securities

10 unchanged sentences

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, 2021, as filed with the SEC on February 28, 2022.

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, 2022 and December 31, 2021:

As of March 31, 2022

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, 2022 and December 31, 2021:

As of June 30, 2022

Fair Value Weighted-

49 unchanged sentences

Net amount $ 19,139 $ 160,271

As of March 31, 2022, Farmer Mac expects to reclassify $ 1.2 million after-tax from accumulated other comprehensive income to earnings over the next twelve months related to cash flow hedges.

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, 2022.

During the three months ended March 31, 2022 and 2021, 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 tables summarize the net income/(expense) recognized in the consolidated statements of operations related to derivatives for the three months ended March 31, 2022 and 2021:

For the Three Months Ended March 31, 2022

As of June 30, 2022, Farmer Mac expects to reclassify $ 7.2 million after-tax from accumulated other comprehensive income to earnings over the next twelve months related to cash flow hedges.

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, 2022.

During the three and six months ended June 30, 2022 and 2021, 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 tables summarize the net income/(expense) recognized in the consolidated statements of operations related to derivatives for the three and six months ended June 30, 2022 and 2021:

For the Three Months Ended June 30, 2022

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

22 unchanged sentences

Gains on financial derivatives not designated in hedge relationships $ — $ — $ — $ — $ 3,418 $ 3,418

For the Three Months Ended March 31, 2021

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)

Total amounts presented in the consolidated statement of operations $ 4,457 $ 42,414 $ 60,214 $ ( 51,956 ) $ ( 3,066 ) $ 52,063

$ 42,404 $ 59,494 $ ( 54,176 ) $ 4,293 $ 52,015

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

3 unchanged sentences

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

(Losses)/gains on fair value hedging relationships:

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

(Losses)/gains on fair value hedging relationships $ ( 723 ) $ 1,022 $ 46 $ — $ 345

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:

3 unchanged sentences

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

Gains on financial derivatives not designated in hedge relationships:

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 Six Months Ended June 30, 2022

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 $ 16,916 $ 96,361 $ 143,879 $ ( 125,879 ) $ 19,492 $ 150,769

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

Recognized on derivatives ( 2,492 ) ( 37,337 ) ( 11,405 ) 18,848 — ( 32,386 )

Recognized on hedged items 5,816 66,359 26,288 ( 41,599 ) — 56,864

Premium/discount amortization recognized on hedged items ( 757 ) — — ( 924 ) — ( 1,681 )

Income/(expense) related to interest settlements on fair value hedging relationships $ 2,567 $ 29,022 $ 14,883 $ ( 23,675 ) $ — $ 22,797

Gains/(losses) on fair value hedging relationships:

Recognized on derivatives $ 57,562 $ 363,858 $ 241,351 $ ( 323,494 ) $ — $ 339,277

Recognized on hedged items ( 55,694 ) ( 359,914 ) ( 236,953 ) 321,687 — ( 330,874 )

Gains/(losses) on fair value hedging relationships $ 1,868 $ 3,944 $ 4,398 $ ( 1,807 ) $ — $ 8,403

Expense related to interest settlements on cash flow hedging relationships:

Interest settlements reclassified from AOCI into net income on derivatives $ — $ — $ — $ ( 3,166 ) $ — $ ( 3,166 )

Recognized on hedged items — — — ( 2,608 ) — ( 2,608 )

Discount amortization recognized on hedged items — — — ( 29 ) — ( 29 )

Expense recognized on cash flow hedges $ — $ — $ — $ ( 5,803 ) $ — $ ( 5,803 )

Gains on financial derivatives not designated in hedging relationships:

Gains on interest rate swaps $ — $ — $ — $ — $ 4,614 $ 4,614

2 unchanged sentences

Gains on financial derivatives not designated in hedge relationships $ — $ — $ — $ — $ 19,492 $ 19,492

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, 2022 and December 31, 2021:

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 )

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

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, 2022 December 31, 2021 March 31, 2022 December 31, 2021

June 30, 2022 December 31, 2021 June 30, 2022 December 31, 2021

(in thousands)

6 unchanged sentences

( 9,162,760 ) ( 7,083,535 ) 364,064 42,377

(1) Includes $ 1.2 million and $ 1.3 million of hedging adjustments on discontinued hedging relationships as of March 31, 2022 and December 31, 2021, respectively.

(2) Includes $ 1.2 million of hedging adjustments on a discontinued hedging relationship as of both March 31, 2022 and December 31, 2021.

(1) Includes $ 1.2 million and $ 1.3 million of hedging adjustments on discontinued hedging relationships as of June 30, 2022 and December 31, 2021, respectively.

(2) Includes $ 1.1 million and $ 1.2 million of hedging adjustments on a discontinued hedging relationship as of June 30, 2022 and December 31, 2021, 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, 2022 and December 31, 2021:

March 31, 2022

The following table shows Farmer Mac's credit exposure to interest rate swap counterparties as of June 30, 2022 and December 31, 2021:

June 30, 2022

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 both March 31, 2022 and December 31, 2021, Farmer Mac held no cash or investment securities as collateral for its derivatives in net asset positions.

Farmer Mac posted $ 78.5 million cash and $ 183.9 million of investment securities as of March 31, 2022 and posted $ 16.6 million cash and $ 177.9 million investment securities as of December 31, 2021.

As of both June 30, 2022 and December 31, 2021, Farmer Mac held no cash or investment securities as collateral for its derivatives in net asset positions.

Farmer Mac posted $ 105.3 million cash and $ 182.9 million of investment securities as of June 30, 2022 and posted $ 16.6 million cash and $ 177.9 million investment securities as of December 31, 2021.

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, 2022 or December 31, 2021, 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, 2022 and December 31, 2021, 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 $ 18.9 billion notional amount of interest rate swaps outstanding as of March 31, 2022, $ 16.0 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, 2022 or December 31, 2021, 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, 2022 and December 31, 2021, 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 $ 20.3 billion notional amount of interest rate swaps outstanding as of June 30, 2022, $ 16.9 billion were cleared through the swap clearinghouse, the Chicago Mercantile Exchange ("CME").

Of Farmer Mac's $ 17.5 billion notional amount of interest rate swaps outstanding as of December 31, 2021, $ 14.9 billion were cleared through the CME.

During first quarter 2022 and throughout 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 2022 and throughout 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 March 31, 2022 and December 31, 2021, Farmer Mac had $ 9.0 million and no loans held for sale, respectively.

Farmer Mac did not record any lower of cost or fair value adjustments during the three months ended March 31, 2022 or 2021.

The following table includes loans held for investment and loans held for sale and displays the composition of the loan balances as of March 31, 2022 and December 31, 2021:

As of March 31, 2022 As of December 31, 2021

As of both June 30, 2022 and December 31, 2021, Farmer Mac had no loans held for sale, respectively.

Farmer Mac did not record any lower of cost or fair value adjustments during the three and six months ended June 30, 2022 and 2021.

The following table includes loans held for investment and displays the composition of the loan balances as of June 30, 2022 and December 31, 2021:

As of June 30, 2022 As of December 31, 2021

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, 2022 and December 31, 2021:

March 31, 2022 December 31, 2021

The following table is a summary, by asset type, of the allowance for losses as of June 30, 2022 and December 31, 2021:

June 30, 2022 December 31, 2021

Allowance for Losses Allowance for Losses

3 unchanged sentences

Total $ 12,403 $ 14,041

The following is a summary of the changes in the allowance for losses for the three month period ended March 31, 2022 and 2021:

For the Three Months Ended

March 31, 2022 March 31, 2021

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, 2022 and 2021:

For the Three Months Ended For the Six Months Ended

June 30, 2022 June 30, 2021 June 30, 2022 June 30, 2021

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

(in thousands)

11 unchanged sentences

$ 8,388 $ 10,908 $ 8,388 $ 10,908

(1) As of both March 31, 2022 and 2021, allowance for losses for Agricultural Finance mortgage loans includes no allowance for collateral dependent assets secured by agricultural real estate.

(2) As of both March 31, 2022 and 2021, allowance for losses for Rural Infrastructure Finance loans includes no allowance for collateral dependent assets.

The net release from the allowance for Rural Infrastructure Finance loan losses of $ 1.0 million recorded during first quarter 2022 was primarily attributable to a risk rating upgrade on a single loan related to the borrower's successful securitization of a large payable incurred as a result of the arctic freeze that struck Texas in February 2021, and was partially offset by new loan volume.

The $ 0.6 million net provision to the allowance for the Agricultural Finance mortgage loan portfolio during first quarter 2022 was primarily attributable to a risk rating downgrade on a single agricultural storage and processing loan.

The provision to the allowance for Rural Infrastructure Finance 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 arctic freeze 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 following table presents the unpaid principal balances by delinquency status of Farmer Mac's loans and non-performing assets as of March 31, 2022 and December 31, 2021:

As of March 31, 2022

(1) As of June 30, 2022 and 2021, allowance for losses for Agricultural Finance mortgage loans includes $ 1.2 million and $ 1.8 million allowance for collateral dependent assets secured by agricultural real estate, respectively.

(2) As of both June 30, 2022 and 2021, allowance for losses for Rural Infrastructure Finance loans includes no allowance for collateral dependent assets.

The net release from the allowance for Rural Infrastructure Finance loan losses of $ 1.2 million recorded during second quarter 2022 was primarily attributable to updated credit loss model forecast assumptions and improvements in risk ratings.

The $ 0.1 million net provision to the allowance for the Agricultural Finance mortgage loan portfolio during second quarter 2022 was primarily attributable to a risk rating downgrade on a single agricultural storage and processing loan.

The $ 2.2 million net release from the allowance for the Rural Infrastructure Finance portfolio for the six months ended June 30, 2022 was primarily attributable to the updated credit loss model forecast assumptions mentioned above and a first quarter risk rating upgrade on a single loan.

The risk rating upgrade on that loan reflected that borrower's successful securitization of its large payable that arose during the arctic freeze that struck Texas in February 2021.

The $ 0.7 million net provision to the allowance for the Agricultural Finance mortgage loan portfolio for the six months ended June 30, 2022 was primarily attributable to a risk rating downgrade on a single agricultural storage and processing loan.

The release from the allowance for Rural Infrastructure Finance 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 Agricultural Finance mortgage loan 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 Infrastructure Finance portfolio, partially offset by improving economic factor forecasts.

The following table presents the unpaid principal balances by delinquency status of Farmer Mac's loans and non-performing assets as of June 30, 2022 and December 31, 2021:

As of June 30, 2022

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

8 unchanged sentences

(4) Includes $ 19.6 million of nonaccrual loans for which there was no associated allowance.

During the three months ended March 31, 2022, Farmer Mac received $ 1.8 million in interest on nonaccrual loans.

During the three and six months ended June 30, 2022, Farmer Mac received $ 2.0 million and $ 3.8 million in interest on nonaccrual loans, respectively.

As of December 31, 2021

11 unchanged sentences

Credit Quality Indicators

The following tables present credit quality indicators related to Agricultural Finance mortgage loans and Rural Infrastructure Finance loans held as of March 31, 2022 and December 31, 2021, by year of origination:

As of March 31, 2022

The following tables present credit quality indicators related to Agricultural Finance mortgage loans and Rural Infrastructure Finance loans held as of June 30, 2022 and December 31, 2021, by year of origination:

As of June 30, 2022

Year of Origination:

9 unchanged sentences

Total $ 824,430 $ 2,180,452 $ 1,512,669 $ 553,062 $ 355,192 $ 1,206,459 $ 566,598 $ 7,198,862

For the Three Months Ended:

For the Three Months Ended June 30, 2022:

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

1 unchanged sentence

Current period Agricultural Finance net charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

For the Six Months Ended June 30, 2022:

Current period charge-offs $ — $ — $ — $ — $ — $ ( 84 ) $ — $ ( 84 )

Current period recoveries — — — — — — — —

Current period Agricultural Finance net charge-offs $ — $ — $ — $ — $ — $ ( 84 ) $ — $ ( 84 )

(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, 2022

As of June 30, 2022

Year of Origination:

9 unchanged sentences

Total $ 415,701 $ 206,967 $ 638,579 $ 757,248 $ 3,792 $ 693,200 $ 42,506 $ 2,757,993

For the Three Months Ended:

For the Three Months Ended June 30, 2022:

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

1 unchanged sentence

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

For the Six Months Ended June 30, 2022:

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

Current period recoveries — — — — — — — —

Current period Rural Infrastructure 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 $ 2,224,509 $ 1,596,563 $ 617,576 $ 400,104 $ 351,687 $ 1,095,135 $ 561,419 $ 6,846,993

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 Agricultural Finance net charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

For the Six Months Ended June 30, 2021:

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

Current period recoveries — — — — — — — —

Current period Agricultural Finance 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 $ 242,570 $ 635,166 $ 774,941 $ 8,100 $ 86,878 $ 628,903 $ 12,578 $ 2,389,136

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 Infrastructure net charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

For the Six Months Ended June 30, 2021:

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

Current period recoveries — — — — — — — —

Current period Rural Infrastructure 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 unchanged sentences

GUARANTEES AND COMMITMENTS

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, 2022 and December 31, 2021, 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, 2022 and December 31, 2021, 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, 2022 As of December 31, 2021

As of June 30, 2022 As of December 31, 2021

(in thousands)

4 unchanged sentences

Total off-balance sheet Farmer Mac Guaranteed Securities $ 526,335 $ 581,113

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.

sold to investors.

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, 2022 March 31, 2021

For the Six Months Ended

June 30, 2022 June 30, 2021

(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, 2022 As of December 31, 2021

As of June 30, 2022 As of December 31, 2021

(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, 2022 As of December 31, 2021

As of June 30, 2022 As of December 31, 2021

(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, 2022 and December 31, 2021:

March 31, 2022 December 31, 2021

The following table is a summary, by asset type, of the reserve for losses as of June 30, 2022 and December 31, 2021:

June 30, 2022 December 31, 2021

Reserve for Losses Reserve for Losses

5 unchanged sentences

Total $ 1,677 $ 1,950

The following is a summary of the changes in the reserve for losses for the three month period ended March 31, 2022 and 2021:

For the Three Months Ended

March 31, 2022 March 31, 2021

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 periods ended June 30, 2022 and 2021:

For the Three Months Ended For the Six Months Ended

June 30, 2022 June 30, 2021 June 30, 2022 June 30, 2021

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

(in thousands)

9 unchanged sentences

Ending Balance $ 795 $ 917 $ 795 $ 917

The release from the reserve for losses in both the Agricultural Finance and Rural Infrastructure Finance LTSPC and Farmer Mac Guaranteed portfolios recorded during the three months ended March 31, 2022 was primarily due to decreased net volume in those portfolios.

The release from the reserve for losses in the Rural Infrastructure Finance 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 both the Agricultural Finance and Rural Infrastructure Finance LTSPC and Farmer Mac Guaranteed portfolios recorded during the three and six months ended June 30, 2022 was primarily due to improvements in risk ratings in those portfolios.

The release from the reserve for losses in the Rural Infrastructure Finance LTSPC portfolios 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 Agricultural Finance LTSPC portfolio was primarily due to ratings upgrades and updated loss-given-default assumptions.

The following table presents the unpaid principal balances by delinquency status of Agricultural Finance and Rural Utilities loans underlying LTSPCs and Farmer Mac Guaranteed Securities as of March 31, 2022 and December 31, 2021:

As of March 31, 2022

The following table presents the unpaid principal balances by delinquency status of Agricultural Finance and Rural Infrastructure loans underlying LTSPCs and Farmer Mac Guaranteed Securities as of June 30, 2022 and December 31, 2021:

As of June 30, 2022

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 Agricultural Finance and Rural Utilities loans underlying LTSPCs and Farmer Mac Guaranteed Securities as of March 31, 2022 and December 31, 2021, by year of origination:

As of March 31, 2022

The following tables present credit quality indicators related to Agricultural Finance and Rural Infrastructure loans underlying LTSPCs and Farmer Mac Guaranteed Securities as of June 30, 2022 and December 31, 2021, by year of origination:

As of June 30, 2022

Year of Origination:

9 unchanged sentences

Total $ 77,240 $ 448,463 $ 508,637 $ 237,501 $ 190,161 $ 1,202,651 $ 264,567 $ 2,929,220

For the Three Months Ended:

For the Three Months Ended June 30, 2022:

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

1 unchanged sentence

Current period Agricultural Finance net charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

For the Six Months Ended June 30, 2022:

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

Current period recoveries — — — — — — — —

Current period Agricultural Finance 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, 2022

As of June 30, 2022

Year of Origination:

9 unchanged sentences

Total $ — $ — $ — $ — $ — $ 490,615 $ 82,314 $ 572,929

For the Three Months Ended:

For the Three Months Ended June 30, 2022:

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

1 unchanged sentence

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

For the Six Months Ended June 30, 2022:

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

Current period recoveries — — — — — — — —

Current period Rural Infrastructure 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 $ 376,027 $ 544,098 $ 245,089 $ 200,298 $ 251,812 $ 1,089,305 $ 258,127 $ 2,964,756

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 Agricultural Finance net charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

For the Six Months Ended June 30, 2021:

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

Current period recoveries — — — — — — — —

Current period Agricultural Finance 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 $ — $ — $ — $ — $ — $ 499,594 $ 57,243 $ 556,837

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 Infrastructure net charge-offs $ — $ — $ — $ — $ — $ — $ — $ —

For the Six Months Ended June 30, 2021:

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

Current period recoveries — — — — — — — —

Current period Rural Infrastructure 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, 2022 and December 31, 2021:

March 31, 2022

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, 2022 and December 31, 2021:

June 30, 2022

Outstanding as of June 30 Average Outstanding During the Quarter

Amount Weighted- Average Rate Amount Weighted- Average Rate

36 unchanged sentences

Total $ 22,716,156

The maximum amount of Farmer Mac's discount notes outstanding at any month end during the three months ended March 31, 2022 and 2021 was $ 2.2 billion and $ 1.8 billion, respectively.

The maximum amount of Farmer Mac's discount notes outstanding at any month end during the six months ended June 30, 2022 and 2021 was $ 2.2 billion and $ 1.9 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 2022 as of March 31, 2022:

Debt Callable in 2022 as of March 31, 2022, by Maturity

The following table summarizes by maturity date the amounts and costs for Farmer Mac debt callable in 2022 as of June 30, 2022:

Debt Callable in 2022 as of June 30, 2022, by Maturity

Amount Weighted-Average Rate

6 unchanged sentences

Total $ 3,392,874 1.26 %

The following schedule summarizes the earliest interest rate reset date, or debt maturities, of total borrowings outstanding as of March 31, 2022, 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, 2022, 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 $ 23,838,159 1.37 %

During the three months ended March 31, 2022 and 2021, Farmer Mac called $ 26.0 million and $ 1.0 billion of callable medium-term notes, respectively.

During the six months ended June 30, 2022 and 2021, Farmer Mac called $ 26.0 million and $ 1.6 billion of callable medium-term notes, respectively.

Authority to Borrow from the U.S.

7 unchanged sentences

Treasury within a reasonable time.

As of March 31, 2022, Farmer Mac had not used this borrowing authority.

As of June 30, 2022, 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, 2022 and 2021.

During first quarter 2022, Farmer Mac paid a quarterly dividend of $ 0.95 per share on all classes of its common stock.

For each quarter in 2021, Farmer Mac paid a quarterly dividend of $ 0.88 per share on all

classes of its common stock.

No outstanding debt repurchases were made in the six months ended June 30, 2022 and 2021.

During first and second quarter 2022, Farmer Mac paid a quarterly dividend of $ 0.95 per share on all classes of its common stock.

For each quarter in 2021, Farmer Mac paid a quarterly dividend of $ 0.88 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.

Farmer Mac did no t repurchase any shares of its Class C non-voting common stock during the first three months of 2022.

As of March 31, 2022, 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 2022.

As of June 30, 2022, 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, 2022 and December 31, 2021, the minimum capital requirement was greater than the risk-based capital requirement.

As of both June 30, 2022 and December 31, 2021, 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, 2022, Farmer Mac's minimum capital requirement was $ 743.8 million and its core capital level was $ 1.2 billion, which was $ 488.7 million above the minimum capital requirement as of that date.

As of June 30, 2022, Farmer Mac's minimum capital requirement was $ 755.5 million and its core capital level was $ 1.3 billion, which was $ 506.3 million above the minimum capital requirement as of that date.

As of December 31, 2021, Farmer Mac's minimum capital requirement was $ 713.8 million and its core capital level was $ 1.2 billion, which was $ 486.8 million above the minimum capital requirement as of that date.

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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, 2022 and December 31, 2021, 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, 2022

The following tables present information about Farmer Mac's assets and liabilities measured at fair value on a recurring basis as of June 30, 2022 and December 31, 2021, 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, 2022

Level 1 Level 2 Level 3 (1)

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Total Liabilities at fair value $ 1,046 $ 126,937 $ — $ 127,983

Non-recurring:

Loans held for sale $ — $ — $ 9,300 $ 9,300

Total non-recurring assets at fair value $ — $ — $ 9,300 $ 9,300

(1) Level 3 assets represent 25 % of total assets and 60 % of financial instruments measured at fair value.

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(1) Level 3 assets represent 25 % of total assets and 62 % of financial instruments measured at fair value.

There were no material assets or liabilities measured at fair value on a non-recurring basis as of March 31, 2022 or December 31, 2021.

There were no material assets or liabilities measured at fair value on a non-recurring basis as of June 30, 2022 or December 31, 2021.

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, 2022 and 2021, there were no transfers within the fair value hierarchy.

During the six months ended June 30, 2022 and 2021, there were no transfers within the fair value hierarchy.

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, 2022 and 2021.

Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended March 31, 2022

There were no liabilities measured at fair value using significant unobservable inputs during the three and six months ended June 30, 2022 and 2021.

Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended June 30, 2022

Beginning Balance Purchases Sales Settlements Allowance for Losses Realized and

unrealized (losses)/gains included

in Income Unrealized gains

in Income Unrealized gains/(losses)

included in Other

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Total Assets at fair value $ 6,628,731 $ 520,000 $ — $ ( 515,028 ) $ 85 $ ( 149,490 ) $ ( 7,114 ) $ 6,477,184

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

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 Six Months Ended June 30, 2022

Beginning Balance Purchases Sales Settlements Allowance for Losses Realized and

unrealized losses included

in Income Unrealized 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 $ 19,254 $ — $ — $ — $ 3 $ — $ ( 196 ) $ 19,061

Total available-for-sale 19,254 — — — 3 — ( 196 ) 19,061

Farmer Mac Guaranteed Securities:

Available-for-sale:

AgVantage 6,316,145 1,352,750 — ( 808,626 ) ( 334 ) ( 359,792 ) ( 59,747 ) 6,440,396

Farmer Mac Guaranteed Securities 12,414 — — ( 737 ) — — ( 1,861 ) 9,816

Total available-for-sale 6,328,559 1,352,750 — ( 809,363 ) ( 334 ) ( 359,792 ) ( 61,608 ) 6,450,212

USDA Securities:

Trading 4,401 — — ( 2,092 ) — ( 34 ) — 2,275

Total USDA Securities 4,401 — — ( 2,092 ) ( 34 ) — 2,275

Guarantee and commitment obligations:

Guarantee Asset 6,237 — — ( 443 ) — ( 158 ) — 5,636

Total Guarantee and commitment obligations 6,237 — — ( 443 ) — ( 158 ) — 5,636

Total Assets at fair value $ 6,358,451 $ 1,352,750 $ — $ ( 811,898 ) $ ( 331 ) $ ( 359,984 ) $ ( 61,804 ) $ 6,477,184

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

in Income Unrealized gains

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

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, 2022 and December 31, 2021:

As of March 31, 2022

As of June 30, 2022

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

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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, 2022 and December 31, 2021:

As of March 31, 2022 As of December 31, 2021

The following table sets forth the estimated fair values and carrying values for financial assets, liabilities, and guarantees and commitments as of June 30, 2022 and December 31, 2021:

As of June 30, 2022 As of December 31, 2021

Fair Value Carrying

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These differences would be due to various factors, including the exclusion of unrealized gains and losses related to fair value changes of trading assets and financial derivatives, as well as the allocation of certain expenses such as operating expenses, dividends and interest expense related to the issuance of capital and the issuance of indebtedness managed at the corporate level.

The following tables present core earnings for Farmer Mac's segments and a reconciliation to consolidated net income for the three months ended March 31, 2022 and 2021.

The amounts for the three months ended March 31, 2021 have been revised to conform to the current year's segment alignment.

The following tables present core earnings for Farmer Mac's segments and a reconciliation to consolidated net income for the three and six months ended June 30, 2022 and 2021.

The amounts for the three and six months ended June 30, 2021 have been revised to conform to the current year's segment alignment.

Core Earnings by Business Segment

For the Three Months Ended March 31, 2022

For the Three Months Ended June 30, 2022

Agricultural Finance Rural Infrastructure Treasury Corporate

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Total revenues 37,089 7,115 4,041 488 18,508 ( 1,282 ) 3 10,579 76,541

(Provision for)/release of losses ( 510 ) ( 515 ) 1,169 ( 202 ) — 2 — — ( 56 )

Release of/(provision for) losses 857 ( 650 ) 1,172 ( 8 ) — 1 — — 1,372

Release of reserve for losses 111 — 52 — — — — — 163

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(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 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 "Gains/(losses) on financial derivatives" on the consolidated financial statements, to determine the effective funding cost for each operating segment.

(4) Net adjustments to reconcile to the corresponding income measures:

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Core Earnings by Business Segment

For the Three Months Ended March 31, 2021

For the Three Months Ended June 30, 2021

Agricultural Finance Rural Infrastructure Treasury Corporate

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Total revenues 33,603 6,678 2,073 387 18,449 126 ( 130 ) ( 5,753 ) 55,433

(Provision for)/release of losses — ( 61 ) ( 633 ) ( 195 ) — ( 24 ) — — ( 913 )

Release of/(provision for) losses 575 97 101 ( 15 ) — 3 — — 761

Provision for reserve for losses 181 — 41 — — — — — 222

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(4) Net adjustments to reconcile to the corresponding income measures:

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

Core Earnings by Business Segment

For the Six Months Ended June 30, 2022

Agricultural Finance Rural Infrastructure Treasury Corporate

Farm & Ranch Corporate AgFinance Rural

Renewable Energy Funding Investments Reconciling

Adjustments Consolidated Net Income

(in thousands)

Net interest income $ 65,024 $ 14,138 $ 6,965 $ 843 $ 45,585 $ ( 1,278 ) $ — $ — $ 131,277

reconciling adjustments (1)(2)(3)

( 2,080 ) — ( 73 ) — ( 10,339 ) — — 12,492 —

Net effective spread 62,944 14,138 6,892 843 35,246 ( 1,278 ) — 12,492 —

Guarantee and commitment fees 8,554 62 620 30 — — — ( 2,358 ) 6,908

Other income/(expense) (3)

561 257 — — — — 3 19,791 20,612

Total revenues 72,059 14,457 7,512 873 35,246 ( 1,278 ) 3 29,925 158,797

Release of/(provision for) losses 347 ( 1,165 ) 2,341 ( 210 ) — 3 — — 1,316

Release of reserve for losses 185 — 88 — — — — — 273

Operating expenses — — — — — — ( 41,436 ) — ( 41,436 )

Total non-interest expense 185 — 88 — — — ( 41,436 ) — ( 41,163 )

Core earnings before income taxes 72,591 13,292 9,941 663 35,246 ( 1,275 ) ( 41,433 ) 29,925 (4)

Income tax (expense)/benefit ( 15,243 ) ( 2,791 ) ( 2,087 ) ( 139 ) ( 7,402 ) 268 8,461 ( 6,284 ) ( 25,217 )

Core earnings before preferred stock dividends 57,348 10,501 7,854 524 27,844 ( 1,007 ) ( 32,972 ) 23,641 (4)

Preferred stock dividends — — — — — — ( 13,583 ) — ( 13,583 )

Segment core earnings/(losses) $ 57,348 $ 10,501 $ 7,854 $ 524 $ 27,844 $ ( 1,007 ) $ ( 46,555 ) $ 23,641 (4)

Total Assets $ 13,686,589 $ 1,521,102 $ 5,632,551 $ 126,513 $ — $ 4,802,159 $ 147,489 $ — 25,916,403

Total on- and off-balance sheet program assets at principal balance $ 16,591,999 $ 1,567,311 $ 6,172,063 $ 148,018 $ — $ — $ — $ — 24,479,391

(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) 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, 2021

Agricultural Finance Rural Infrastructure Treasury Corporate

Farm & Ranch Corporate AgFinance Rural

Renewable Energy Funding Investments Reconciling

Adjustments Consolidated Net Income

(in thousands)

Net interest income $ 58,124 $ 13,597 $ 3,547 $ 626 $ 32,246 $ 240 $ — $ — $ 108,380

reconciling adjustments (1)(2)(3)

( 2,500 ) — ( 67 ) — 4,597 — — ( 2,030 ) —

Net effective spread 55,624 13,597 3,480 626 36,843 240 — ( 2,030 ) —

Guarantee and commitment fees 7,918 10 632 14 — — — ( 2,547 ) 6,027

Other income/(expense) (3)

1,002 — 2 — — — ( 252 ) 1,418 2,170

Total revenues 64,544 13,607 4,114 640 36,843 240 ( 252 ) ( 3,159 ) 116,577

Release of/(provision for) losses 575 36 ( 532 ) ( 210 ) — ( 21 ) — — ( 152 )

Provision for reserve for losses 912 — 254 — — — — — 1,166

Operating expenses — — — — — — ( 35,759 ) — ( 35,759 )

Total non-interest expense 912 — 254 — — — ( 35,759 ) — ( 34,593 )

Core earnings before income taxes 66,031 13,643 3,836 430 36,843 219 ( 36,011 ) ( 3,159 ) (4)

Income tax (expense)/benefit ( 13,866 ) ( 2,865 ) ( 806 ) ( 90 ) ( 7,737 ) ( 46 ) 7,427 664 ( 17,319 )

Core earnings before preferred stock dividends 52,165 10,778 3,030 340 29,106 173 ( 28,584 ) ( 2,495 ) (4)

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

Segment core earnings/(losses) $ 52,165 $ 10,778 $ 3,030 $ 340 $ 29,106 $ 173 $ ( 39,695 ) $ ( 2,495 ) (4)

Total Assets $ 12,327,696 $ 1,661,734 $ 5,043,265 $ 85,486 $ — $ 5,032,632 $ 30,432 $ — $ 24,181,245

Total on- and off-balance sheet program assets at principal balance $ 14,873,926 $ 1,664,059 $ 5,566,591 $ 92,585 $ — $ — $ — $ — $ 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) 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