What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2022-11-07 compared with 2022-08-08 · 338 added, 210 removed, 1435 unchanged (28% of the section changed)

2 unchanged sentences

CONSOLIDATED BALANCE SHEETS

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

(in thousands)

20 unchanged sentences

Financial derivatives, at fair value 49,968 6,081

Interest receivable (includes $ 7,664 and $ 10,418 , respectively, related to consolidated trusts)

Accrued interest receivable (includes $ 7,798 and $ 10,418 , respectively, related to consolidated trusts)

167,962 165,604

37 unchanged sentences

CONSOLIDATED STATEMENTS OF OPERATIONS

For the Three Months Ended For the Six Months Ended

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

For the Three Months Ended For the Nine Months Ended

September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021

(in thousands, except per share amounts)

6 unchanged sentences

Net interest income 67,853 58,916 197,305 168,115

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

(Provision for)/release of losses ( 617 ) ( 366 ) 699 ( 518 )

Net interest income after (provision for)/release of losses 67,236 58,550 198,004 167,597

Non-interest income/(expense):

1 unchanged sentence

Gains/(losses) on financial derivatives 772 ( 888 ) 21,551 2,581

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

(Losses)/gains on trading securities ( 41 ) 37 ( 75 ) ( 38 )

Gains on sale of available-for-sale investment securities — 253 — 253

Release of reserve for losses 167 111 440 1,277

17 unchanged sentences

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME

For the Three Months Ended For the Six Months Ended

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

For the Three Months Ended For the Nine Months Ended

September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021

(in thousands

3 unchanged sentences

Net changes in held-to-maturity securities ( 622 ) ( 2,385 ) 220 ( 6,195 )

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

Net unrealized gains on cash flow hedges 24,596 3,258 72,684 16,899

Other comprehensive (loss)/income before tax ( 17,853 ) 1,864 ( 85,369 ) 40,670

30 unchanged sentences

Balance as of June 30, 2022 19,980 $ 484,531 10,797 $ 10,797 $ 127,569 $ ( 49,484 ) $ 647,797 $ 1,221,210

Net Income — — — — — — 41,418 41,418

Other comprehensive loss, net of tax — — — — — ( 14,105 ) — ( 14,105 )

Cash dividends:

Preferred stock — — — — — — ( 6,791 ) ( 6,791 )

Common stock (cash dividend of $ 0.95 per share)

— — — — — — ( 10,260 ) ( 10,260 )

Issuance of Class C Common Stock — — 3 3 48 — — 51

Stock-based compensation cost — — — — 832 — — 832

Other stock-based award activity — — — — ( 332 ) — — ( 332 )

Balance as of September 30, 2022 19,980 $ 484,531 10,800 $ 10,800 $ 128,117 $ ( 63,589 ) $ 672,164 $ 1,232,023

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, 2020 14,980 $ 363,204 10,737 $ 10,737 $ 122,899 $ ( 13,923 ) $ 515,017 $ 997,934

20 unchanged sentences

Balance as of June 30, 2021 19,980 $ 484,531 10,765 $ 10,765 $ 124,148 $ 16,733 $ 551,914 $ 1,188,091

Net Income — — — — — — 35,305 35,305

Other comprehensive income, net of tax — — — — — 1,473 — 1,473

Cash dividends:

Preferred stock — — — — — — ( 6,774 ) ( 6,774 )

Common stock (cash dividend of $ 0.88 per share)

— — — — — — ( 9,474 ) ( 9,474 )

Issuance of Class C Common Stock — — 1 1 45 — — 46

Stock-based compensation cost — — — — 749 — — 749

Balance as of September 30, 2021 19,980 $ 484,531 10,766 $ 10,766 $ 124,942 $ 18,206 $ 570,971 $ 1,209,416

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

FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF CASH FLOW

For the Six Months Ended

June 30, 2022 June 30, 2021

CONSOLIDATED STATEMENTS OF CASH FLOWS

For the Nine Months Ended

September 30, 2022 September 30, 2021

(in thousands)

5 unchanged sentences

Net change in fair value of trading securities, hedged assets, and financial derivatives 665,775 215,769

Gain on the sale of available-for-sale investment securities — ( 253 )

Total release of allowance for losses ( 1,139 ) ( 759 )

23 unchanged sentences

Proceeds from sale of Farmer Mac Guaranteed Securities 47,212 84,131

Net cash (used in)/provided by investing activities ( 1,422,123 ) ( 209,936 )

Net cash used in investing activities ( 2,050,891 ) ( 751,709 )

Cash flows from financing activities:

1 unchanged sentence

Proceeds from issuance of medium-term notes 6,866,487 8,588,616

Proceeds from third parties from issuance of debt securities of consolidated trusts 258,198 —

Payments to redeem discount notes ( 42,096,456 ) ( 46,182,144 )

5 unchanged sentences

Dividends paid on common and preferred stock ( 51,119 ) ( 45,048 )

Net cash provided by/(used in) financing activities 896,758 ( 301,375 )

Net cash provided by financing activities 1,304,082 183,601

Net change in cash and cash equivalents ( 40,551 ) ( 134,889 )

4 unchanged sentences

Consolidation of Farmer Mac Guaranteed Securities from off-balance sheet to loans held for investment in consolidated trusts and to debt securities of consolidated trusts held by third parties 47,212 84,131

Loans held for investment transferred to consolidated trusts 297,713 —

Reclassification of defaulted loans from loans held for investment in consolidated trusts to loans held for investment 1,781 24,690

Reclassification of loans held for investment to loans held for sale — 301,551

Capitalized interest 446 1,253

Charge-off from the allowance for losses 84 —

Purchases of securities - traded, not yet settled 268,370 —

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

12 unchanged sentences

The December 31, 2021 consolidated balance sheet presented in this report has been derived

from Farmer Mac's audited 2021 consolidated financial statements.

Management believes that the

disclosures are adequate to present fairly the consolidated financial statements as of the dates and for the

periods presented.

from Farmer Mac's audited 2021 consolidated financial statements, as revised.

Management believes that the disclosures are adequate to present fairly the consolidated financial statements as of the dates and for the periods presented.

These interim unaudited consolidated financial statements should be read in

4 unchanged sentences

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

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

updated information for the three and nine months ended September 30, 2022.

Farmer Mac has revised its prior period financial information to correct an error that was not material to those previous consolidated financial statements, taken as a whole.

For more information on the revision, refer to Note 11, Revision of Prior Period Financial Statements.

Principles of Consolidation

4 unchanged sentences

Consolidation of Variable Interest Entities

As of June 30, 2022

As of September 30, 2022

Agricultural Finance Treasury Total

21 unchanged sentences

(1) Includes borrower remittances of $ 9.3 million.

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

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

(2) Includes $ 39.1 million in unamortized discount related to a structured securitization transaction.

(3) 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 and six months ended June 30, 2022 and 2021:

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

For the Three Months Ended

June 30, 2022 June 30, 2021

September 30, 2022 September 30, 2021

Income Weighted-Average Shares $ per

5 unchanged sentences

Diluted EPS $ 34,627 10,874 $ 3.18 $ 28,531 10,842 $ 2.63

(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

(1) For the three months ended September 30, 2022 and 2021, SARs and restricted stock of 18,432 and 28,575 , 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 September 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 Nine Months Ended

September 30, 2022 September 30, 2021

Income Weighted-Average Shares $ per

5 unchanged sentences

Diluted EPS $ 114,352 10,875 $ 10.51 $ 84,351 10,834 $ 7.79

(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.

(1) For the nine months ended September 30, 2022 and 2021, SARs and restricted stock of 37,120 and 52,434 , respectively, were outstanding but not included in the computation of diluted earnings per share of common stock because they were anti-dilutive.

For the nine months ended September 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 and six months ended June 30, 2022 and 2021.

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

The following table presents the changes in accumulated other comprehensive income ("AOCI"), net of tax, by component for the three and nine months ended September 30, 2022 and 2021.

As of September 30, 2022 As of September 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 $ ( 131,967 ) $ 16,326 $ 52,052 $ ( 63,589 ) $ 9,736 $ 17,935 $ ( 9,465 ) $ 18,206

For the Six Months Ended

For the Nine Months Ended:

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

3 unchanged sentences

Ending Balance $ ( 131,967 ) $ 16,326 $ 52,052 $ ( 63,589 ) $ 9,736 $ 17,935 $ ( 9,465 ) $ 18,206

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 and six months ended June 30, 2022 and 2021:

For the Three Months Ended

June 30, 2022 June 30, 2021

September 30, 2022 September 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 )

Unrealized holding (losses)/gains on available-for-sale securities $ ( 41,824 ) $ ( 8,783 ) $ ( 33,041 ) $ 1,614 $ 339 $ 1,275

Less reclassification adjustments included in:

1 unchanged sentence

— — — ( 362 ) ( 76 ) ( 286 )

Gains on sale of available-for-sale investment securities (2)

— — — ( 253 ) ( 53 ) ( 200 )

Other income (3)

7 unchanged sentences

Cash flow hedges

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

Unrealized gains on cash flow hedges $ 25,668 $ 5,391 $ 20,277 $ 1,326 $ 277 $ 1,049

Less reclassification adjustments included in:

2 unchanged sentences

Total $ 24,596 $ 5,166 $ 19,430 $ 3,258 $ 683 $ 2,575

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

Other comprehensive (loss)/income $ ( 17,853 ) $ ( 3,748 ) $ ( 14,105 ) $ 1,864 $ 391 $ 1,473

(1) Relates to the amortization of unrealized gains on hedged items prior to the application of fair value hedge accounting.

(2) Represents unrealized gains and losses on sales of available-for-sale securities.

(3) Represents amortization of deferred gains related to certain available-for-sale USDA Securities and Farmer Mac Guaranteed USDA Securities.

3 unchanged sentences

(5) 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

For the Nine Months Ended

September 30, 2022 September 30, 2021

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

6 unchanged sentences

— — — ( 2,333 ) ( 490 ) ( 1,843 )

Gains on sale of available-for-sale investment securities (2)

— — — ( 253 ) ( 53 ) ( 200 )

Other income (3)

14 unchanged sentences

(1) Relates to the amortization of unrealized gains on hedged items prior to the application of fair value hedge accounting.

(2) Represents unrealized gains and losses on sales of available-for-sale securities.

(3) Represents amortization of deferred gains related to certain available-for-sale USDA Securities and Farmer Mac Guaranteed USDA Securities.

23 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 June 30, 2022 and December 31, 2021:

As of June 30, 2022

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

As of September 30, 2022

Amount Outstanding Unamortized Premium/(Discount) Amortized

14 unchanged sentences

Total held-to-maturity $ 45,032 $ — $ 45,032 $ — $ — $ ( 1,758 ) $ 43,274

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

(1) Amounts presented exclude $ 6.3 million of accrued interest receivable on investment securities as of September 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 1.8 % as of June 30, 2022.

(3) The held-to-maturity investment securities had a weighted average yield of 3.0 % as of September 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 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

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

During the three and nine months ended September 30, 2021, Farmer Mac received proceeds of $ 232.0 million and $ 257.5 million, respectively, from the sale of securities from its available-for-sale investment portfolio, resulting in gains of $ 0.3 million and $ 0.3 million, respectively.

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

As of September 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 June 30, 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 September 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 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.

As of both September 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 June 30, 2022 that is, on average, approximately 97.7 % of their amortized cost basis.

Securities in unrealized loss positions for 12 months or longer have a fair value as of September 30, 2022 that is, on average, approximately 94.0 % 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 June 30, 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 September 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 June 30, 2022

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

As of June 30, 2022

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

As of September 30, 2022

Unpaid Principal Balance Unamortized Premium/(Discount) Amortized

16 unchanged sentences

$ 1,879 $ 79 $ 1,958 $ — $ — $ ( 107 ) $ 1,851

(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.

(1) Amounts presented exclude $ 44.0 million, $ 41.1 million, and $ 38,000 of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of September 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 $ 8.2 million of an interest-only security with a notional amount of $ 251.6 million.

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

(4) The trading USDA securities had a weighted average yield of 4.84 % as of September 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 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

As of September 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 September 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 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 unrealized losses presented above are principally due to changes in interest rates from the date of acquisition to September 30, 2022 and December 31, 2021, as applicable.

The unrealized losses on the held-to-maturity USDA Securities as of both September 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 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.

The unrealized losses from AgVantage securities were on 97 and 13 available-for-sale securities as of September 30, 2022 and December 31, 2021, respectively.

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

As of September 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 September 30, 2022, there were 4 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 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 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 June 30, 2022 are set forth below.

During the three and nine months ended September 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 June 30, 2022

As of September 30, 2022

Available-for-Sale Securities

7 unchanged sentences

(1) Amounts presented exclude $ 44.0 million of accrued interest receivable.

As of June 30, 2022

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

As of June 30, 2022

The following tables summarize information related to Farmer Mac's financial derivatives on a gross basis without giving consideration to master netting arrangements.

The table below includes accrued interest on cleared swaps, but excludes $ 4.3 million and $ 3.0 million of accrued interest receivable and $ 1.5 million and $ 1.9 million of accrued interest payable on uncleared swaps as of September 30, 2022 and December 31, 2021, respectively.

The aforementioned accrued interest on uncleared swaps is included within Accrued Interest Receivable and Accrued Interest Payable on the Consolidated Balance Sheet.

As of September 30, 2022

Fair Value Weighted-

7 unchanged sentences

Interest rate swaps:

Pay fixed non-callable $ 7,292,155 $ 6,060 $ ( 1,665 ) 2.07 % 1.44 % 11.57

Receive fixed non-callable $ 8,984,779 $ 125 $ ( 10,282 ) 2.87 % 1.56 % 1.79

Pay fixed non-callable 7,866,679 29,089 ( 429 ) 2.07 % 2.85 % 11.18

Receive fixed callable 2,491,077 — ( 184,088 ) 2.76 % 1.58 % 3.34

8 unchanged sentences

Treasury futures 32,700 536 ( 18 ) 113.64

Credit valuation adjustment — 15

Netting adjustments (1)

( 11,228 ) 11,228

Total financial derivatives $ 22,402,528 $ 49,968 $ ( 184,554 )

Collateral (held)/pledged — 288,224

Net amount $ 30,011 $ 160,241

(1) Amounts represent the application of the netting requirements that allow Farmer Mac to settle positive and negative positions, including accrued interest, held or placed with the same clearing agent.

As of December 31, 2021

21 unchanged sentences

Credit valuation adjustment — 14

Netting adjustments (1)

( 1,374 ) 1,374

Total financial derivatives $ 17,547,367 $ 6,081 $ ( 35,554 )

Collateral (held)/pledged — 194,519

Net amount $ 19,139 $ 160,271

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

As of September 30, 2022, Farmer Mac expects to reclassify $ 12.9 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 September 30, 2022.

During the three and nine months ended September 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 nine months ended September 30, 2022 and 2021:

For the Three Months Ended September 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 $ — $ — $ — $ — $ 772 $ 772

For the Three Months Ended June 30, 2021

For the Three Months Ended September 30, 2021

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

22 unchanged sentences

Losses on financial derivatives not designated in hedge relationships $ — $ — $ — $ — $ ( 888 ) $ ( 888 )

For the Six Months Ended June 30, 2022

For the Nine Months Ended September 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 $ — $ — $ — $ — $ 21,551 $ 21,551

For the Six Months Ended June 30, 2021

For the Nine Months Ended September 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

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)

19 unchanged sentences

Treasury futures — — — — ( 246 ) ( 246 )

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

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 June 30, 2022 and December 31, 2021:

Losses on financial derivatives not designated in hedge relationships $ — $ — $ — $ — $ 2,581 $ 2,581

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)

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

September 30, 2022 December 31, 2021 September 30, 2022 December 31, 2021

(in thousands)

1 unchanged sentence

Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value 4,624,461 4,276,002 ( 358,160 ) 206,520

4,393,401 4,276,002 ( 153,395 ) 206,520

Loans held for investment, at amortized cost 1,610,641 1,668,142 ( 323,559 ) 13,832

1,675,794 1,668,142 ( 223,069 ) 13,832

Notes Payable (1)

( 10,700,388 ) ( 7,081,150 ) 566,406 39,992

(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.

(1) Carrying amount represents amortized cost.

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)

Counterparty Netting Net Amount Presented in the Consolidated Balance Sheet

The following tables present the fair value of financial assets and liabilities, based on the terms of Farmer Mac's master netting arrangements as of September 30, 2022 and December 31, 2021:

September 30, 2022

Gross Amounts Not Offset in the Consolidated Balance Sheet

Gross Amount Recognized Gross Amounts offset in the Consolidated Balance Sheet Net Amount Presented in the Consolidated Balance Sheet (1)

Netting Adjustments Financial instruments pledged Cash Collateral (2)

(in thousands)

Interest rate swap $ 466,602 $ 466,602 $ —

Interest rate swap $ 388,191 $ 350,366 $ 37,825

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

Uncleared derivatives $ 29,347 $ — $ 29,347 $ ( 28,811 ) $ — $ — $ 536

Cleared derivatives 30,840 ( 11,228 ) 19,612 — 205,874 — 225,486

Total $ 60,187 $ ( 11,228 ) $ 48,959 $ ( 28,811 ) $ 205,874 $ — $ 226,022

Uncleared derivatives $ ( 158,031 ) $ — $ ( 158,031 ) $ 28,811 $ — $ 126,630 $ ( 2,590 )

Cleared derivatives ( 11,228 ) 11,228 — — — — —

Total $ ( 169,259 ) $ 11,228 $ ( 158,031 ) $ 28,811 $ — $ 126,630 $ ( 2,590 )

(1) Amounts presented may not agree to the consolidated balance sheet related to counterparties not subject to master netting agreements.

(2) Cash collateral excludes $ 24.0 million of collateral posted related to counterparties not subject to master netting agreements.

December 31, 2021

Gross Amount Recognized (1)

Counterparty Netting Net Amount Presented in the Consolidated Balance Sheet

Gross Amounts Not Offset in the Consolidated Balance Sheet

Gross Amount Recognized Gross Amounts offset in the Consolidated Balance Sheet Net Amount Presented in the Consolidated Balance Sheet (1)

Netting Adjustments Financial instruments pledged Cash Collateral (2)

(in thousands)

Interest rate swaps $ 91,130 $ 91,130 $ —

Interest rate swaps $ 404,063 $ 386,249 $ 17,814

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

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.

Uncleared derivatives $ 6,081 $ — $ 6,081 $ ( 6,008 ) $ — $ — $ 73

Cleared derivatives 1,374 ( 1,374 ) — — — — —

Total $ 7,455 $ ( 1,374 ) $ 6,081 $ ( 6,008 ) $ — $ — $ 73

Uncleared derivatives $ ( 23,368 ) $ — $ ( 23,368 ) $ 6,008 $ — $ 14,339 $ ( 3,021 )

Cleared derivatives ( 10,993 ) 1,374 ( 9,619 ) — 177,878 — 168,259

Total $ ( 34,361 ) $ 1,374 $ ( 32,987 ) $ 6,008 $ 177,878 $ 14,339 $ 165,238

(1) Amounts presented may not agree to the consolidated balance sheet related to counterparties not subject to master netting agreements.

(2) Cash collateral excludes $ 2.3 million of collateral posted related to counterparties not subject to master netting agreements.

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 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").

If Farmer Mac had breached certain provisions of the derivative contracts as of September 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 September 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 $ 22.4 billion notional amount of interest rate swaps outstanding as of September 30, 2022, $ 18.5 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 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.

During the first nine months 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 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

As of both September 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 nine months ended September 30, 2022 and 2021.

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

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

June 30, 2022 December 31, 2021

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

September 30, 2022 December 31, 2021

Allowance for Losses Allowance for Losses

3 unchanged sentences

Total $ 13,002 $ 14,041

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

The following is a summary of the changes in the allowance for losses for the three and nine month period ended September 30, 2022 and 2021:

For the Three Months Ended For the Nine Months Ended

September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021

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

8 unchanged sentences

Beginning Balance $ 8,388 $ 10,908 $ 10,599 $ 10,087

(Release of)/provision for losses ( 1,234 ) ( 181 ) ( 2,211 ) 821

Provision for/(release of) losses 418 ( 120 ) ( 1,793 ) 701

Charge-offs — — — —

1 unchanged sentence

$ 8,806 $ 10,788 $ 8,806 $ 10,788

(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.

(1) As of September 30, 2022 and 2021, allowance for losses for Agricultural Finance mortgage loans includes $ 1.7 million and $ 1.8 million allowance for collateral dependent assets secured by agricultural real estate, respectively.

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

The net provision to the allowance for Rural Infrastructure Finance loan losses of $ 0.4 million recorded during third quarter 2022 was primarily attributable to net new loan volume.

The $ 0.2 million net provision to the allowance for the Agricultural Finance mortgage loan portfolio during third quarter 2022 was primarily attributable to the deterioration of a single agricultural storage and processing loan.

The $ 1.8 million net release from the allowance for the Rural Infrastructure Finance portfolio for the nine months ended September 30, 2022 was primarily attributable to improvements in forecasts of future economic conditions, 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

The $ 0.8 million net provision to the allowance for the Agricultural Finance mortgage loan portfolio for the nine months ended September 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 $ 0.1 million recorded during third quarter 2021 was primarily attributable to the impact of improving economic factor forecasts.

The $ 0.4 million provision to the allowance for the Agricultural Finance mortgage loan portfolio during third quarter 2021 was primarily attributable to a decline in the economic factor forecast for commodity prices in Farmer Mac's fruit and nuts portfolio.

The net provision recorded to the allowance for the nine months ended September 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 net release from the allowance for the nine months ended September 30, 2021 was primarily a result of improving agricultural commodity prices on the Agricultural Finance mortgage loan portfolio in the first half of the year, partially offset by declines in the third quarter.

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

As of September 30, 2022

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

8 unchanged sentences

(4) Includes $ 33.9 million of nonaccrual loans for which there was no associated allowance.

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.

During the three and nine months ended September 30, 2022, Farmer Mac received $ 1.3 million and $ 5.0 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 June 30, 2022 and December 31, 2021, by year of origination:

As of June 30, 2022

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

As of September 30, 2022

Year of Origination:

9 unchanged sentences

Total $ 1,152,189 $ 2,122,700 $ 1,480,495 $ 540,959 $ 343,932 $ 1,114,263 $ 620,620 $ 7,375,158

For the Three Months Ended June 30, 2022:

For the Three Months Ended September 30, 2022:

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

1 unchanged sentence

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

For the Six Months Ended June 30, 2022:

For the Nine Months Ended September 30, 2022:

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

4 unchanged sentences

(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 June 30, 2022

As of September 30, 2022

Year of Origination:

9 unchanged sentences

Total $ 584,273 $ 230,232 $ 634,474 $ 748,381 $ 7,932 $ 653,100 $ 27,301 $ 2,885,693

For the Three Months Ended June 30, 2022:

For the Three Months Ended September 30, 2022:

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

1 unchanged sentence

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

For the Six Months Ended June 30, 2022:

For the Nine Months Ended September 30, 2022:

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

16 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 June 30, 2021:

For the Three Months Ended September 30, 2021:

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

1 unchanged sentence

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

For the Six Months Ended June 30, 2021:

For the Nine Months Ended September 30, 2021:

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

16 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 June 30, 2021:

For the Three Months Ended September 30, 2021:

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

1 unchanged sentence

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

For the Six Months Ended June 30, 2021:

For the Nine Months Ended September 30, 2021:

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

5 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 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:

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 September 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 June 30, 2022 As of December 31, 2021

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

(in thousands)

4 unchanged sentences

Total off-balance sheet Farmer Mac Guaranteed Securities $ 511,869 $ 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.

During third quarter 2022, Farmer Mac executed a structured securitization transaction, whereby it sold and securitized agricultural mortgage loans resulting in $ 297.7 million of Farmer Mac Guaranteed Securities.

In this transaction, Farmer Mac transferred selected loans to a depositor which then deposited the loans into a trust, at which time the loans became assets of the trust.

Farmer Mac does not consider these trust fund assets to be available to satisfy the claims of the creditors of Farmer Mac and/or the depositor.

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

For the Six Months Ended

June 30, 2022 June 30, 2021

For the Nine Months Ended

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

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

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

June 30, 2022 December 31, 2021

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

September 30, 2022 December 31, 2021

Reserve for Losses Reserve for Losses

5 unchanged sentences

Total $ 1,510 $ 1,950

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

The following is a summary of the changes in the reserve for losses for the three and nine month periods ended September 30, 2022 and 2021:

For the Three Months Ended For the Nine Months Ended

September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021

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

10 unchanged sentences

Ending Balance $ 767 $ 897 $ 767 $ 897

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 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 nine months ended September 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 portfolio recorded during the three and nine months ended September 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 Infrastructure loans underlying LTSPCs and Farmer Mac Guaranteed Securities as of June 30, 2022 and December 31, 2021:

As of June 30, 2022

As of September 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 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

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

As of September 30, 2022

Year of Origination:

9 unchanged sentences

Total $ 162,839 $ 491,124 $ 530,607 $ 247,696 $ 204,571 $ 1,216,243 $ 280,312 $ 3,133,392

For the Three Months Ended June 30, 2022:

For the Three Months Ended September 30, 2022:

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

1 unchanged sentence

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

For the Six Months Ended June 30, 2022:

For the Nine Months Ended September 30, 2022:

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

3 unchanged sentences

(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 June 30, 2022

As of September 30, 2022

Year of Origination:

9 unchanged sentences

Total $ — $ — $ — $ — $ — $ 482,427 $ 58,801 $ 541,228

For the Three Months Ended June 30, 2022:

For the Three Months Ended September 30, 2022:

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

1 unchanged sentence

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

For the Six Months Ended June 30, 2022:

For the Nine Months Ended September 30, 2022:

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

15 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 June 30, 2021:

For the Three Months Ended September 30, 2021:

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

1 unchanged sentence

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

For the Six Months Ended June 30, 2021:

For the Nine Months Ended September 30, 2021:

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

15 unchanged sentences

Total $ — $ — $ — $ — $ — $ 499,594 $ 57,243 $ 556,837

For the Three Months Ended June 30, 2021:

For the Three Months Ended September 30, 2021:

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

1 unchanged sentence

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

For the Six Months Ended June 30, 2021:

For the Nine Months Ended September 30, 2021:

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

6 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 June 30, 2022 and December 31, 2021:

June 30, 2022

Outstanding as of June 30 Average Outstanding During the Quarter

The following tables set forth information related to Farmer Mac's borrowings as of September 30, 2022 and December 31, 2021:

September 30, 2022

Outstanding as of September 30 Average Outstanding During the Quarter

Amount Weighted- Average Rate Amount Weighted- Average Rate

36 unchanged sentences

Total $ 22,713,771

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.

The maximum amount of Farmer Mac's discount notes outstanding at any month end during the nine months ended September 30, 2022 and 2021 was $ 2.2 billion and $ 2.4 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 June 30, 2022:

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

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

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

Amount Weighted-Average Rate

6 unchanged sentences

Total $ 2,563,453 1.33 %

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:

The following schedule summarizes the earliest interest rate reset date, or debt maturities, of total borrowings outstanding as of September 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 $ 24,067,063 1.77 %

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.

During the nine months ended September 30, 2022 and 2021, Farmer Mac called $ 26.0 million and $ 1.7 billion of callable medium-term notes, respectively.

Authority to Borrow from the U.S.

7 unchanged sentences

Treasury within a reasonable time.

As of June 30, 2022, Farmer Mac had not used this borrowing authority.

As of September 30, 2022, Farmer Mac had not used this borrowing authority.

Gains on Repurchase of Outstanding Debt

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.

No outstanding debt repurchases were made in the three and nine months ended September 30, 2022.

During the three and nine months ended September 30, 2021, Farmer Mac repurchased $ 23.0 million of

outstanding debt at a gain of $ 14,000 .

During each of the first, second, and third quarters 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.

4 unchanged sentences

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 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.

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

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

As of both September 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 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 September 30, 2022, Farmer Mac's minimum capital requirement was $ 781.7 million and its core capital level was $ 1.3 billion, which was $ 513.9 million above the minimum capital requirement as of that date.

As of December 31, 2021, Farmer Mac's minimum capital requirement was $ 713.1 million and its core capital level was $ 1.2 billion, which was $ 496.8 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 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

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

Level 1 Level 2 Level 3 (1)

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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 June 30, 2022 or December 31, 2021.

There were no material assets or liabilities measured at fair value on a non-recurring basis as of September 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 six months ended June 30, 2022 and 2021, there were no transfers within the fair value hierarchy.

During the nine months ended September 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 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

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

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

Beginning Balance Purchases Sales Settlements Allowance for Losses Realized and

unrealized (losses)/gains included

unrealized losses included

in Income Unrealized gains/(losses)

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Total Assets at fair value $ 6,477,184 $ 1,370,000 $ — $ ( 628,211 ) $ — $ ( 205,206 ) $ ( 13,979 ) $ 6,999,788

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

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

Beginning Balance Purchases Sales Settlements Allowance for Losses Realized and

unrealized gains/(losses) included

in Income Unrealized gains/(losses)

unrealized (losses)/gains included

in Income Unrealized gains

included in Other

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Total Assets at fair value $ 6,901,703 $ — $ — $ ( 709,176 ) $ ( 64 ) $ ( 31,425 ) $ 2,014 $ 6,163,052

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

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

Beginning Balance Purchases Sales Settlements Allowance for Losses Realized and

21 unchanged sentences

Total Assets at fair value $ 6,358,451 $ 2,722,750 $ — $ ( 1,440,110 ) $ ( 331 ) $ ( 565,190 ) $ ( 75,782 ) $ 6,999,788

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

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

Beginning Balance Purchases Sales Settlements Allowance for Losses Realized and

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Total Assets at fair value $ 6,973,567 $ 578,115 $ — $ ( 1,264,981 ) $ 3 $ ( 150,303 ) $ 26,651 $ 6,163,052

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 June 30, 2022 and December 31, 2021:

As of June 30, 2022

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

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

As of September 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 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.

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

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

Core Earnings by Business Segment

For the Three Months Ended June 30, 2022

For the Three Months Ended September 30, 2022

Agricultural Finance Rural Infrastructure Treasury Corporate

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Core Earnings by Business Segment

For the Three Months Ended June 30, 2021

For the Three Months Ended September 30, 2021

Agricultural Finance Rural Infrastructure Treasury Corporate

31 unchanged sentences

Core Earnings by Business Segment

For the Six Months Ended June 30, 2022

For the Nine Months Ended September 30, 2022

Agricultural Finance Rural Infrastructure Treasury Corporate

30 unchanged sentences

Core Earnings by Business Segment

For the Six Months Ended June 30, 2021

For the Nine Months Ended September 30, 2021

Agricultural Finance Rural Infrastructure Treasury Corporate

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

REVISION OF PRIOR PERIOD FINANCIAL STATEMENTS

Farmer Mac revised certain prior period financial statements to correct an error related to the recognition of accrual of interest for derivative contracts cleared through the swap clearinghouse, the CME.

Farmer Mac determined that the error was immaterial to these previous consolidated financial statements, taken as a whole.

Although Farmer Mac has concluded these errors are immaterial to the previously issued consolidated financial statements, Farmer Mac has corrected this error by revising the accompanying consolidated financial statements.

Farmer Mac will also correct previously reported financial information for such immaterial errors in future filings, as applicable.

The following tables summarize the effect of the revision on each financial statement line item:

Revised Consolidated Balance Sheet

As of December 31, 2021

As previously Reported Adjustments As Revised

(in thousands)

Financial Derivatives, at fair value $ 19,139 $ ( 13,058 ) $ 6,081

Interest Receivable 177,355 ( 11,751 ) 165,604

Deferred Tax Asset, net 15,558 311 15,869

Prepaid Expenses and Other Assets 45,318 16 45,334

Total Assets $ 25,145,491 $ ( 24,482 ) $ 25,121,009

Notes Payable $ 22,716,156 $ ( 2,385 ) $ 22,713,771

Financial Derivatives, at fair value 34,248 1,306 35,554

Accrued Interest Payable 83,992 ( 24,989 ) 59,003

Accounts Payable and Accrued Expenses 79,427 ( 7,701 ) 71,726

Total Liabilities $ 23,941,078 $ ( 33,769 ) $ 23,907,309

Retained Earnings $ 579,270 $ 9,287 $ 588,557

Total Equity 1,204,413 9,287 1,213,700

Total Liabilities and Equity $ 25,145,491 $ ( 24,482 ) $ 25,121,009

Revised Consolidated Statements of Operations

Three Months Ended September 30, 2021 Nine Months Ended September 30, 2021

As previously Reported Adjustments As Revised As previously Reported Adjustments As Revised

(in thousands)

Interest Income:

Farmer Mac Guaranteed Securities and USDA Securities $ 38,428 $ 3,911 $ 42,339 $ 123,246 $ 4,730 $ 127,976

Total interest income 104,472 3,911 108,383 318,984 4,730 323,714

Net interest income 55,005 3,911 58,916 163,385 4,730 168,115

Non-interest income/(expense):

(Losses)/gains on financial derivatives ( 2,347 ) 1,459 ( 888 ) ( 1,120 ) 3,701 2,581

Non-Interest Income 1,791 1,459 3,250 11,154 3,701 14,855

Income before income taxes 39,323 5,370 44,693 121,155 8,431 129,586

Income tax expense 8,260 1,128 9,388 25,579 1,771 27,350

Net Income 31,063 4,242 35,305 95,576 6,660 102,236

Net Income attributable to common stockholders 24,289 4,242 28,531 77,691 6,660 84,351

Revised Consolidated Statements of Comprehensive Income

Three Months Ended September 30, 2021 Nine Months Ended September 30, 2021

As previously Reported Adjustments As Revised As previously Reported Adjustments As Revised

(in thousands)

Net Income $ 31,063 $ 4,242 $ 35,305 $ 95,576 $ 6,660 $ 102,236

Comprehensive Income 32,536 — 4,242 36,778 127,705 6,660 134,365

Revised Consolidated Statements of Equity

Retained Earnings Total Equity

As previously Reported Adjustments As Revised As previously Reported Adjustments As Revised

(in thousands)

Balance as of December 31, 2021 $ 579,270 $ 9,287 $ 588,557 $ 1,204,413 $ 9,287 $ 1,213,700

Net Income 47,837 3,616 51,453 47,837 3,616 51,453

Balance as of March 31, 2022 $ 610,087 $ 12,903 $ 622,990 $ 1,192,844 $ 12,903 $ 1,205,747

Net Income 45,896 ( 4,041 ) 41,855 45,896 ( 4,041 ) 41,855

Balance as of June 30, 2022 $ 638,935 $ 8,862 $ 647,797 $ 1,212,348 $ 8,862 $ 1,221,210

Retained Earnings Total Equity

As previously Reported Adjustments As Revised As previously Reported Adjustments As Revised

(in thousands)

Balance as of December 31, 2020 $ 509,560 $ 5,457 $ 515,017 $ 992,477 $ 5,457 $ 997,934

Net Income 33,227 4,842 38,069 33,227 4,842 38,069

Balance as of March 31, 2021 $ 528,068 $ 10,299 $ 538,367 $ 1,077,492 $ 10,299 $ 1,087,791

Net Income 31,286 ( 2,423 ) 28,863 31,286 ( 2,423 ) 28,863

Balance as of June 30, 2021 $ 544,038 $ 7,876 $ 551,914 $ 1,180,215 $ 7,876 $ 1,188,091

Net Income 31,063 4,242 35,305 31,063 4,242 35,305

Balance as of September 30, 2021 $ 558,853 $ 12,118 $ 570,971 $ 1,197,298 $ 12,118 $ 1,209,416

Revised Consolidated Statements of Cash Flows

For the Nine Months Ended September 30, 2021

As previously Reported Adjustments As Revised

(in thousands)

Cash flows from operating activities:

Net income/(loss) $ 95,576 $ 6,660 $ 102,236

Adjustments to reconcile net income to net cash provided by operating activities:

Net change in fair value of trading securities, hedged assets, and financial derivatives 226,895 ( 11,126 ) 215,769

Deferred income taxes ( 1,302 ) 844 ( 458 )

Net change in:

Interest receivable 40,509 ( 1,479 ) 39,030

Other assets 2,431 3,163 5,594

Accrued interest payable ( 9,475 ) ( 2,939 ) ( 12,414 )

Other liabilities ( 8,346 ) 4,877 ( 3,469 )

Net cash provided by operating activities 433,219 — 433,219

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