FEDERAL AGRICULTURAL MORTGAGE CORP 10-Q

Item 1. Financial Statements FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES CONSOLIDATED BALANCE SHEETS (unaudited) As of September 30, 2022 December 31, 2021 (in thousands) Assets: Cash and cash equivalents $ 868,234 $ 908,785 Investment securities: Available-for-sale, at fair value (amortized cost of $ 4,590,696 and $ 3,834,714 , respectively) 4,401,879 3,836,391 Held-to-maturity, at amortized cost 45,032 44,970 Other investments 2,106 1,229 Total Investment Securities 4,449,017 3,882,590 Farmer Mac Guaranteed Securities: Available-for-sale, at fair value (amortized cost of $ 7,421,595 and $ 6,135,807 , respectively) 6,974,002 6,328,559 Held-to-maturity, at amortized cost 1,328,039 2,033,239 Total Farmer Mac Guaranteed Securities 8,302,041 8,361,798 USDA Securities: Trading, at fair value 1,851 4,401 Held-to-maturity, at amortized cost 2,428,638 2,436,331 Total USDA Securities 2,430,489 2,440,732 Loans: Loans held for investment, at amortized cost 8,817,783 8,314,096 Loans held for investment in consolidated trusts, at amortized cost 1,120,403 948,623 Allowance for losses ( 13,002 ) ( 14,041 ) Total loans, net of allowance 9,925,184 9,248,678 Financial derivatives, at fair value 49,968 6,081 Accrued interest receivable (includes $ 7,798 and $ 10,418 , respectively, related to consolidated trusts) 167,962 165,604 Guarantee and commitment fees receivable 46,347 45,538 Deferred tax asset, net 18,978 15,869 Prepaid expenses and other assets 183,368 45,334 Total Assets $ 26,441,588 $ 25,121,009 Liabilities and Equity: Liabilities: Notes payable $ 23,500,657 $ 22,713,771 Debt securities of consolidated trusts held by third parties 1,090,539 981,379 Financial derivatives, at fair value 184,554 35,554 Accrued interest payable (includes $ 5,547 and $ 9,619 , respectively, related to consolidated trusts) 90,821 59,003 Guarantee and commitment obligation 45,726 43,926 Accounts payable and accrued expenses 295,758 71,726 Reserve for losses 1,510 1,950 Total Liabilities 25,209,565 23,907,309 Commitments and Contingencies (Note 6) Equity: Preferred stock: Series C, par value $ 25 per share, 3,000,000 shares authorized, issued and outstanding 73,382 73,382 Series D, par value $ 25 per share, 4,000,000 shares authorized, issued and outstanding 96,659 96,659 Series E, par value $ 25 per share, 3,180,000 shares authorized, issued and outstanding 77,003 77,003 Series F, par value $ 25 per share, 4,800,000 shares authorized, issued and outstanding 116,160 116,160 Series G, par value $ 25 per share, 5,000,000 shares authorized, issued and outstanding 121,327 121,327 Common stock: Class A Voting, $ 1 par value, no maximum authorization, 1,030,780 shares outstanding 1,031 1,031 Class B Voting, $ 1 par value, no maximum authorization, 500,301 shares outstanding 500 500 Class C Non-Voting, $ 1 par value, no maximum authorization, 9,269,367 shares and 9,235,205 shares outstanding, respectively 9,269 9,235 Additional paid-in capital 128,117 125,993 Accumulated other comprehensive (loss)/income, net of tax ( 63,589 ) 3,853 Retained earnings 672,164 588,557 Total Equity 1,232,023 1,213,700 Total Liabilities and Equity $ 26,441,588 $ 25,121,009 The accompanying notes are an integral part of these consolidated financial statements. 3 FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF OPERATIONS (unaudited) For the Three Months Ended For the Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (in thousands, except per share amounts) Interest income: Investments and cash equivalents $ 21,581 $ 4,121 $ 38,497 $ 14,107 Farmer Mac Guaranteed Securities and USDA Securities 74,695 42,339 169,231 127,976 Loans 97,514 61,923 241,393 181,631 Total interest income 193,790 108,383 449,121 323,714 Total interest expense 125,937 49,467 251,816 155,599 Net interest income 67,853 58,916 197,305 168,115 (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): Guarantee and commitment fees 2,643 3,155 9,551 9,182 Gains/(losses) on financial derivatives 772 ( 888 ) 21,551 2,581 (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 Other income 651 582 1,805 1,600 Non-interest income 4,192 3,250 33,272 14,855 Operating expenses: Compensation and employee benefits 11,648 10,027 36,661 31,601 General and administrative 6,919 6,330 21,717 19,015 Regulatory fees 812 750 2,437 2,250 Operating expenses 19,379 17,107 60,815 52,866 Income before income taxes 52,049 44,693 170,461 129,586 Income tax expense 10,631 9,388 35,735 27,350 Net income 41,418 35,305 134,726 102,236 Preferred stock dividends ( 6,791 ) ( 6,774 ) ( 20,374 ) ( 17,885 ) Net income attributable to common stockholders $ 34,627 $ 28,531 $ 114,352 $ 84,351 Earnings per common share: Basic earnings per common share $ 3.21 $ 2.65 $ 10.61 $ 7.84 Diluted earnings per common share $ 3.18 $ 2.63 $ 10.51 $ 7.79 The accompanying notes are an integral part of these consolidated financial statements. 4 FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (unaudited) For the Three Months Ended For the Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (in thousands Net income $ 41,418 $ 35,305 $ 134,726 $ 102,236 Other comprehensive (loss)/income: Net unrealized (losses)/gains on available-for-sale securities ( 41,827 ) 991 ( 158,273 ) 29,966 Net changes in held-to-maturity securities ( 622 ) ( 2,385 ) 220 ( 6,195 ) 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 Income tax benefit/(expense) related to other comprehensive (loss)/income 3,748 ( 391 ) 17,927 ( 8,541 ) Other comprehensive (loss)/income net of tax ( 14,105 ) 1,473 ( 67,442 ) 32,129 Comprehensive income/(loss) $ 27,313 $ 36,778 $ 67,284 $ 134,365 The accompanying notes are an integral part of these consolidated financial statements. 5 FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF EQUITY (unaudited) Accumulated Additional Other Preferred Stock Common Stock Paid-In Comprehensive Retained Total Shares Amount Shares Amount Capital Income/(Loss) Earnings Equity (in thousands) Balance as of December 31, 2021 19,980 $ 484,531 10,766 $ 10,766 $ 125,993 $ 3,853 $ 588,557 $ 1,213,700 Net Income — — — — — — 51,453 51,453 Other comprehensive loss, net of tax — — — — — ( 43,518 ) — ( 43,518 ) Cash dividends: Preferred stock — — — — — — ( 6,791 ) ( 6,791 ) Common stock (cash dividend of $ 0.95 per share) — — — — — — ( 10,229 ) ( 10,229 ) Issuance of Class C Common Stock — — 22 22 46 — — 68 Stock-based compensation cost — — — — 2,113 — — 2,113 Other stock-based award activity — — — — ( 1,049 ) — — ( 1,049 ) Balance as of March 31, 2022 19,980 $ 484,531 10,788 $ 10,788 $ 127,103 $ ( 39,665 ) $ 622,990 $ 1,205,747 Net Income — — — — — — 41,855 41,855 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 ) $ 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 6 Accumulated Additional Other Preferred Stock Common Stock Paid-In Comprehensive Retained Total Shares Amount Shares Amount Capital Income/(Loss) Earnings Equity (in thousands) Balance as of December 31, 2020 14,980 $ 363,204 10,737 $ 10,737 $ 122,899 $ ( 13,923 ) $ 515,017 $ 997,934 Net Income — — — — — — 38,069 38,069 Other comprehensive income, net of tax — — — — — 65,667 — 65,667 Cash dividends: Preferred stock — — — — — — ( 5,269 ) ( 5,269 ) Common stock (cash dividend of $ 0.88 per share) — — — — — — ( 9,450 ) ( 9,450 ) Issuance of Class C Common Stock — — 21 21 12 — — 33 Stock-based compensation cost — — — — 1,665 — — 1,665 Other stock-based award activity — — — — ( 858 ) — — ( 858 ) Balance as of March 31, 2021 14,980 $ 363,204 10,758 $ 10,758 $ 123,718 $ 51,744 $ 538,367 $ 1,087,791 Net Income — — — — — — 28,863 28,863 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 $ 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. 7 FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF CASH FLOWS (unaudited) For the Nine Months Ended September 30, 2022 September 30, 2021 (in thousands) Cash flows from operating activities: Net income $ 134,726 $ 102,236 Adjustments to reconcile net income to net cash provided by operating activities: Net amortization of deferred gains, premiums, and discounts on loans, investments, Farmer Mac Guaranteed Securities, and USDA Securities 2,456 13,631 Amortization of debt premiums, discounts, and issuance costs 11,839 5,106 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 ) Excess tax benefits related to stock-based awards 87 292 Deferred income taxes 14,820 ( 458 ) Stock-based compensation expense 3,807 3,306 Proceeds from repayment of loans purchased as held for sale 31,086 44,744 Net change in: Interest receivable ( 1,931 ) 39,030 Guarantee and commitment fees receivable 991 66 Other assets ( 144,031 ) 5,594 Accrued interest payable 31,818 ( 12,414 ) Custodial deposit liability ( 41,392 ) 20,798 Other liabilities ( 2,654 ) ( 3,469 ) Net cash provided by operating activities 706,258 433,219 Cash flows from investing activities: Purchases of available-for-sale investment securities ( 1,789,932 ) ( 1,414,547 ) Purchases of other investment securities ( 877 ) ( 403 ) Purchases of Farmer Mac Guaranteed Securities and USDA Securities ( 4,308,083 ) ( 2,658,305 ) Purchases of loans held for investment ( 2,122,360 ) ( 2,107,746 ) Purchases of defaulted loans — ( 8,713 ) Proceeds from repayment of available-for-sale investment securities 1,103,046 1,303,141 Proceeds from repayment of Farmer Mac Guaranteed Securities and USDA Securities 3,933,894 2,282,970 Proceeds from repayment of loans purchased as held for investment 1,077,209 1,500,239 Proceeds from sale of loans previously classified as held for investment 9,000 10,000 Proceeds from sale of available-for-sale investment securities — 257,524 Proceeds from sale of Farmer Mac Guaranteed Securities 47,212 84,131 Net cash used in investing activities ( 2,050,891 ) ( 751,709 ) Cash flows from financing activities: Proceeds from issuance of discount notes 40,788,399 46,784,100 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 ) Payments to redeem medium-term notes ( 4,261,315 ) ( 8,640,370 ) Payments to third parties on debt securities of consolidated trusts ( 198,463 ) ( 441,646 ) Proceeds from common stock issuance 140 71 Proceeds from preferred stock issuance, net of stock issuance costs — 121,327 Tax payments related to share-based awards ( 1,789 ) ( 1,305 ) Dividends paid on common and preferred stock ( 51,119 ) ( 45,048 ) Net cash provided by financing activities 1,304,082 183,601 Net change in cash and cash equivalents ( 40,551 ) ( 134,889 ) Cash and cash equivalents at beginning of period 908,785 1,033,941 Cash and cash equivalents at end of period $ 868,234 $ 899,052 Non-cash activity: Loans acquired and securitized as Farmer Mac Guaranteed Securities 47,212 84,131 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. 8 FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES NOTES TO CONSOLIDATED FINANCIAL STATEMENTS 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The interim unaudited consolidated financial statements of the Federal Agricultural Mortgage Corporation ("Farmer Mac") and subsidiaries have been prepared pursuant to the rules and regulations of the U.S. Securities and Exchange Commission ("SEC"). These interim unaudited consolidated financial statements reflect all normal and recurring adjustments that are, in the opinion of management, necessary to present a fair statement of the financial position and the results of operations and cash flows of Farmer Mac and subsidiaries for the interim periods presented. Certain information and footnote disclosures normally included in the annual consolidated financial statements have been omitted as permitted by SEC rules and regulations. The December 31, 2021 consolidated balance sheet presented in this report has been derived 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 conjunction with the 2021 consolidated financial statements of Farmer Mac and subsidiaries included in Farmer Mac's Annual Report on Form 10-K for the year ended December 31, 2021, as filed with the SEC on February 28, 2022. Results for interim periods are not necessarily indicative of those that may be expected for the fiscal year. Presented below are Farmer Mac's significant accounting policies that contain updated information for the three 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 The consolidated financial statements include the accounts of Farmer Mac and its two subsidiaries: (1) Farmer Mac Mortgage Securities Corporation, whose principal activities are to facilitate the purchase and issuance of Farmer Mac Guaranteed Securities; and (2) Farmer Mac II LLC, whose principal activity is the operation of substantially all of the business related to the USDA Securities included in the Agricultural Finance line of business. The consolidated financial statements also include the accounts of Variable Interest Entities ("VIEs") in which Farmer Mac determined itself to be the primary beneficiary. 9 Table 1.1 Consolidation of Variable Interest Entities As of September 30, 2022 Agricultural Finance Treasury Total (in thousands) On-Balance Sheet: Consolidated VIEs: Loans held for investment in consolidated trusts, at amortized cost $ 1,120,403 $ — $ 1,120,403 Debt securities of consolidated trusts held by third parties (1)(2) 1,090,539 — 1,090,539 Unconsolidated VIEs: Farmer Mac Guaranteed Securities: Carrying value 29,471 — 29,471 Maximum exposure to loss (3) 32,348 — 32,348 Investment securities: Carrying value (4) — 2,906,158 2,906,158 Maximum exposure to loss (3) (4) — 3,083,631 3,083,631 Off-Balance Sheet: Unconsolidated VIEs: Farmer Mac Guaranteed Securities: Maximum exposure to loss (3) (5) 509,114 — 509,114 (1) Includes borrower remittances of $ 9.3 million. 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. (4) Includes auction-rate certificates, government-sponsored enterprise ("GSE")-guaranteed mortgage-backed securities, and other mission related investments. (5) The amount under the Agricultural Finance line of business relates to unconsolidated trusts where it was determined that Farmer Mac was either not the primary beneficiary due to shared power with an unrelated party or a subordinate class majority holder has the unilateral right to remove Farmer Mac as Master Servicer without cause. 10 Consolidation of Variable Interest Entities As of December 31, 2021 Agricultural Finance Treasury Total (in thousands) On-Balance Sheet: Consolidated VIEs: Loans held for investment in consolidated trusts, at amortized cost $ 948,623 $ — $ 948,623 Debt securities of consolidated trusts held by third parties (1) 981,379 — 981,379 Unconsolidated VIEs: Farmer Mac Guaranteed Securities: Carrying value 42,298 — 42,298 Maximum exposure to loss (2) 42,155 — 42,155 Investment securities: Carrying value (3) — 2,258,219 2,258,219 Maximum exposure to loss (2) (3) — 2,246,272 2,246,272 Off-Balance Sheet: Unconsolidated VIEs: Farmer Mac Guaranteed Securities: Maximum exposure to loss (2) (4) 578,358 — 578,358 (1) Includes borrower remittances of $ 32.8 million. The borrower remittances had not been passed through to third-party investors as of December 31, 2021. (2) Farmer Mac uses unpaid principal balance and outstanding face amount of investment securities to represent maximum exposure to loss. (3) Includes auction-rate certificates, government-sponsored enterprise ("GSE")-guaranteed mortgage-backed securities, and other mission related investments. (4) The amount under the Agricultural Finance line of business relates to unconsolidated trusts where it was determined that Farmer Mac was either not the primary beneficiary due to shared power with an unrelated party or a subordinate class majority holder has the unilateral right to remove Farmer Mac as Master Servicer without cause. 11 (a) Earnings Per Common Share Basic earnings per common share ("EPS") is based on the daily weighted-average number of shares of common stock outstanding. Diluted earnings per common share is based on the daily weighted-average number of shares of common stock outstanding adjusted to include all potentially dilutive stock appreciation rights ("SARs") and unvested restricted stock awards. The following schedule reconciles basic and diluted EPS for the three and nine months ended September 30, 2022 and 2021: Table 1.2 For the Three Months Ended September 30, 2022 September 30, 2021 Net Income Weighted-Average Shares $ per Share Net Income Weighted-Average Shares $ per Share (in thousands, except per share amounts) Basic EPS Net income attributable to common stockholders $ 34,627 10,799 $ 3.21 $ 28,531 10,766 $ 2.65 Effect of dilutive securities (1) SARs and restricted stock — 75 ( 0.03 ) — 76 ( 0.02 ) Diluted EPS $ 34,627 10,874 $ 3.18 $ 28,531 10,842 $ 2.63 (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 Net Income Weighted-Average Shares $ per Share Net Income Weighted-Average Shares $ per Share (in thousands, except per share amounts) Basic EPS Net income attributable to common stockholders $ 114,352 10,787 $ 10.61 $ 84,351 10,756 $ 7.84 Effect of dilutive securities (1) SARs and restricted stock — 88 ( 0.10 ) — 78 ( 0.05 ) Diluted EPS $ 114,352 10,875 $ 10.51 $ 84,351 10,834 $ 7.79 (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. 12 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. Table 1.3 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 (in thousands) For the Three Months Ended: Beginning Balance $ ( 98,924 ) $ 16,818 $ 32,622 $ ( 49,484 ) $ 8,954 $ 19,819 $ ( 12,040 ) $ 16,733 Other comprehensive (loss)/income before reclassifications ( 33,041 ) — 20,277 ( 12,764 ) 1,275 — 1,049 2,324 Amounts reclassified from AOCI ( 2 ) ( 492 ) ( 847 ) ( 1,341 ) ( 493 ) ( 1,884 ) 1,526 ( 851 ) Net comprehensive (loss)/income ( 33,043 ) ( 492 ) 19,430 ( 14,105 ) 782 ( 1,884 ) 2,575 1,473 Ending Balance $ ( 131,967 ) $ 16,326 $ 52,052 $ ( 63,589 ) $ 9,736 $ 17,935 $ ( 9,465 ) $ 18,206 For the Nine 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 ( 125,027 ) — 55,766 ( 69,261 ) 25,734 — 9,041 34,775 Amounts reclassified from AOCI ( 8 ) 173 1,654 1,819 ( 2,061 ) ( 4,894 ) 4,309 ( 2,646 ) Net comprehensive (loss)/income ( 125,035 ) 173 57,420 ( 67,442 ) 23,673 ( 4,894 ) 13,350 32,129 Ending Balance $ ( 131,967 ) $ 16,326 $ 52,052 $ ( 63,589 ) $ 9,736 $ 17,935 $ ( 9,465 ) $ 18,206 13 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 nine months ended September 30, 2022 and 2021: Table 1.4 For the Three Months Ended September 30, 2022 September 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 $ ( 41,824 ) $ ( 8,783 ) $ ( 33,041 ) $ 1,614 $ 339 $ 1,275 Less reclassification adjustments included in: Net interest income (1) — — — ( 362 ) ( 76 ) ( 286 ) Gains on sale of available-for-sale investment securities (2) — — — ( 253 ) ( 53 ) ( 200 ) Other income (3) ( 3 ) ( 1 ) ( 2 ) ( 8 ) ( 1 ) ( 7 ) Total $ ( 41,827 ) $ ( 8,784 ) $ ( 33,043 ) $ 991 $ 209 $ 782 Held-to-maturity securities: Less reclassification adjustments included in: Net interest income (4) ( 622 ) ( 130 ) ( 492 ) ( 2,385 ) ( 501 ) ( 1,884 ) Total $ ( 622 ) $ ( 130 ) $ ( 492 ) $ ( 2,385 ) $ ( 501 ) $ ( 1,884 ) Cash flow hedges Unrealized gains on cash flow hedges $ 25,668 $ 5,391 $ 20,277 $ 1,326 $ 277 $ 1,049 Less reclassification adjustments included in: Net interest income (5) ( 1,072 ) ( 225 ) ( 847 ) 1,932 406 1,526 Total $ 24,596 $ 5,166 $ 19,430 $ 3,258 $ 683 $ 2,575 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. (4) 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. (5) Relates to the recognition of unrealized gains and losses on cash flow hedges recorded in AOCI. 14 For the Nine Months Ended September 30, 2022 September 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 $ ( 158,263 ) $ ( 33,236 ) $ ( 125,027 ) $ 32,574 $ 6,840 $ 25,734 Less reclassification adjustments included in: Net interest income (1) — — — ( 2,333 ) ( 490 ) ( 1,843 ) Gains on sale of available-for-sale investment securities (2) — — — ( 253 ) ( 53 ) ( 200 ) Other income (3) ( 10 ) ( 2 ) ( 8 ) ( 22 ) ( 4 ) ( 18 ) Total $ ( 158,273 ) $ ( 33,238 ) $ ( 125,035 ) $ 29,966 $ 6,293 $ 23,673 Held-to-maturity securities: Less reclassification adjustments included in: Net interest income (4) 220 47 173 ( 6,195 ) ( 1,301 ) ( 4,894 ) Total $ 220 $ 47 $ 173 $ ( 6,195 ) $ ( 1,301 ) $ ( 4,894 ) Cash flow hedges Unrealized gains on cash flow hedges $ 70,590 $ 14,824 $ 55,766 $ 11,445 $ 2,404 $ 9,041 Less reclassification adjustments included in: Net interest income (5) 2,094 440 1,654 5,454 1,145 4,309 Total $ 72,684 $ 15,264 $ 57,420 $ 16,899 $ 3,549 $ 13,350 Other comprehensive (loss)/income $ ( 85,369 ) $ ( 17,927 ) $ ( 67,442 ) $ 40,670 $ 8,541 $ 32,129 (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. (4) 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. (5) Relates to the recognition of unrealized gains and losses on cash flow hedges recorded in AOCI. 15 (c) New Accounting Standards Recently Adopted Accounting Guidance Standard Description Date of Adoption Effect on Consolidated Financial Statements ASU 2020-04 and 2021-01 , Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting The amendments in this Update provide optional guidance for a limited period of time to ease the potential burden in accounting for reference rate reform on financial reporting. They provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. January 1, 2020 Farmer Mac adopted optional expedients specific to discounting transition on a retrospective basis, and as a result of this election, the discounting transition did not have a material effect on Farmer Mac's financial position, results of operations, or cash flows. 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 Standard Description Effect on Consolidated Financial Statements ASU 2022-02 , Financial Instruments-Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures The Update addresses and amends areas identified by the Financial Accounting Standards Board ("FASB") as part of its post-implementation review of the accounting standard that introduced the current expected credit losses (“CECL”) model. The amendments eliminate the accounting guidance for troubled debt restructurings by creditors that have adopted the CECL model and enhance the disclosure requirements for loan refinancings and restructurings made with borrowers experiencing financial difficulty. In addition, the amendments require disclosure of current-period gross writeoffs for financing receivables and net investment in leases by year of origination in the vintage disclosures. ASU 2022-02 is effective for fiscal years beginning after December 15, 2022, including interim periods within those fiscal years for entities that have adopted the CECL accounting standard. Early adoption, however, is permitted if an entity has adopted the CECL accounting standard. Farmer Mac is still assessing the impact of the new accounting standard but does not expect that adoption of the new guidance will have a material effect on Farmer Mac's financial position, results of operations, or cash flows. 16 2. INVESTMENT SECURITIES The following tables set forth information about Farmer Mac's available-for-sale and held-to-maturity investment securities as of September 30, 2022 and December 31, 2021: Table 2.1 As of September 30, 2022 Amount Outstanding Unamortized Premium/(Discount) Amortized Cost (1) Allowance for losses (2) Unrealized Gains Unrealized Losses Fair Value (in thousands) Available-for-sale: Floating rate auction-rate certificates backed by Government guaranteed student loans $ 19,700 $ — $ 19,700 $ ( 38 ) $ — $ ( 419 ) $ 19,243 Floating rate Government/GSE guaranteed mortgage-backed securities 2,383,351 33 2,383,384 — 2,679 ( 25,535 ) 2,360,528 Fixed rate GSE guaranteed mortgage-backed securities 993,305 ( 12,770 ) 980,535 — — ( 138,831 ) 841,704 Fixed rate U.S. Treasuries 1,211,115 ( 4,038 ) 1,207,077 — — ( 26,673 ) 1,180,404 Total available-for-sale 4,607,471 ( 16,775 ) 4,590,696 ( 38 ) 2,679 ( 191,458 ) 4,401,879 Held-to-maturity: Floating rate Government/GSE guaranteed mortgage-backed securities (3) 45,032 — 45,032 — — ( 1,758 ) 43,274 Total held-to-maturity $ 45,032 $ — $ 45,032 $ — $ — $ ( 1,758 ) $ 43,274 (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 3.0 % as of September 30, 2022. As of December 31, 2021 Amount Outstanding Unamortized Premium/(Discount) Amortized Cost (1) Allowance for losses (2) Unrealized Gains Unrealized Losses Fair Value (in thousands) Available-for-sale: Floating rate auction-rate certificates backed by Government guaranteed student loans $ 19,700 $ — $ 19,700 $ ( 52 ) $ — $ ( 394 ) $ 19,254 Floating rate Government/GSE guaranteed mortgage-backed securities 2,168,016 90 2,168,106 — 11,821 ( 1,096 ) 2,178,831 Fixed rate GSE guaranteed mortgage-backed securities 451,660 12,525 464,185 — 382 ( 5,730 ) 458,837 Fixed rate U.S. Treasuries 1,180,000 2,723 1,182,723 — — ( 3,254 ) 1,179,469 Total available-for-sale 3,819,376 15,338 3,834,714 ( 52 ) 12,203 ( 10,474 ) 3,836,391 Held-to-maturity: Floating rate Government/GSE guaranteed mortgage-backed securities (3) 44,970 — 44,970 — 1,612 — 46,582 Total held-to-maturity $ 44,970 $ — $ 44,970 $ — $ 1,612 $ — $ 46,582 (1) Amounts presented exclude $ 4.3 million of accrued interest receivable on investment securities as of December 31, 2021. (2) Represents the amount of impairment that has resulted from credit-related factors, and therefore was recognized in the consolidated statement of operations as a provision for losses. Amount excludes unrealized losses relating to non-credit factors. (3) The held-to-maturity investment securities had a weighted average yield of 1.5 % as of December 31, 2021. 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. 17 As of September 30, 2022 and December 31, 2021, unrealized losses on available-for-sale investment securities were as follows: Table 2.2 As of September 30, 2022 Available-for-Sale Securities Unrealized loss position for less than 12 months Unrealized loss position for more than 12 months Fair Value Unrealized Loss Fair Value Unrealized Loss (dollars in thousands) Floating rate auction-rate certificates backed by Government guaranteed student loans $ — $ — $ 19,243 $ ( 419 ) Floating rate Government/GSE guaranteed mortgage-backed securities 1,900,726 ( 24,848 ) 27,935 ( 687 ) Fixed rate Government/GSE guaranteed mortgage-backed securities 704,056 ( 107,687 ) 137,635 ( 31,144 ) Fixed rate U.S. Treasuries 595,244 ( 10,096 ) 585,160 ( 16,577 ) Total $ 3,200,026 $ ( 142,631 ) $ 769,973 $ ( 48,827 ) Number of securities in loss position 182 35 As of December 31, 2021 Available-for-Sale Securities Unrealized loss position for less than 12 months Unrealized loss position for more than 12 months Fair Value Unrealized Loss Fair Value Unrealized Loss (dollars in thousands) Floating rate auction-rate certificates backed by Government guaranteed student loans $ — $ — $ 19,254 $ ( 394 ) Floating rate Government/GSE guaranteed mortgage-backed securities 459,195 ( 619 ) 37,307 ( 477 ) Fixed rate Government/GSE guaranteed mortgage-backed securities 406,805 ( 5,730 ) — — Fixed rate U.S. Treasuries 1,123,439 ( 3,070 ) 51,031 ( 184 ) Total $ 1,989,439 $ ( 9,419 ) $ 107,592 $ ( 1,055 ) 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 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 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 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. 18 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. Table 2.3 As of September 30, 2022 Available-for-Sale Securities Amortized Cost Fair Value Weighted- Average Yield (dollars in thousands) Due within one year $ 934,927 $ 920,426 0.73 % Due after one year through five years 620,188 606,506 1.50 % Due after five years through ten years 2,262,727 2,107,401 2.57 % Due after ten years 772,854 767,546 2.65 % Total $ 4,590,696 $ 4,401,879 2.06 % 3. FARMER MAC GUARANTEED SECURITIES AND USDA SECURITIES The following tables set forth information about on-balance sheet Farmer Mac Guaranteed Securities and USDA Securities as of September 30, 2022 and December 31, 2021: Table 3.1 As of September 30, 2022 Unpaid Principal Balance Unamortized Premium/(Discount) Amortized Cost (1) Allowance for losses (2) Unrealized Gains Unrealized Losses Fair Value (in thousands) Held-to-maturity: AgVantage $ 1,306,865 $ — $ 1,306,865 $ ( 56 ) $ — $ ( 60,668 ) $ 1,246,141 Farmer Mac Guaranteed USDA Securities 21,256 ( 26 ) 21,230 — 1 ( 1,760 ) 19,471 Total Farmer Mac Guaranteed Securities 1,328,121 ( 26 ) 1,328,095 ( 56 ) 1 ( 62,428 ) 1,265,612 USDA Securities 2,404,124 24,514 2,428,638 — 178 ( 398,119 ) 2,030,697 Total held-to-maturity $ 3,732,245 $ 24,488 $ 3,756,733 $ ( 56 ) $ 179 $ ( 460,547 ) $ 3,296,309 Available-for-sale: AgVantage $ 7,409,650 $ 853 $ 7,410,503 $ ( 608 ) $ 1,946 $ ( 446,080 ) $ 6,965,761 Farmer Mac Guaranteed Securities (3) — 11,092 11,092 — — ( 2,851 ) 8,241 Total available-for-sale $ 7,409,650 $ 11,945 $ 7,421,595 $ ( 608 ) $ 1,946 $ ( 448,931 ) $ 6,974,002 Trading: USDA Securities (4) $ 1,879 $ 79 $ 1,958 $ — $ — $ ( 107 ) $ 1,851 (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. Amount excludes unrealized losses relating to non-credit factors. (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 4.84 % as of September 30, 2022. 19 As of December 31, 2021 Unpaid Principal Balance Unamortized Premium/(Discount) Amortized Cost (1) Allowance for losses (2) Unrealized Gains Unrealized Losses Fair Value (in thousands) Held-to-maturity: AgVantage $ 2,003,486 $ — $ 2,003,486 $ ( 132 ) $ 10,097 $ ( 12,764 ) $ 2,000,687 Farmer Mac Guaranteed USDA Securities 29,859 26 29,885 — 1,162 — 31,047 Total Farmer Mac Guaranteed Securities 2,033,345 26 2,033,371 ( 132 ) 11,259 ( 12,764 ) 2,031,734 USDA Securities 2,411,649 24,682 2,436,331 — 95,741 — 2,532,072 Total held-to-maturity $ 4,444,994 $ 24,708 $ 4,469,702 $ ( 132 ) $ 107,000 $ ( 12,764 ) $ 4,563,806 Available-for-sale: AgVantage $ 6,122,240 $ 1,270 $ 6,123,510 $ ( 263 ) $ 212,908 $ ( 20,010 ) $ 6,316,145 Farmer Mac Guaranteed Securities (3) — 12,297 12,297 — 117 — $ 12,414 Total available-for-sale $ 6,122,240 $ 13,567 $ 6,135,807 $ ( 263 ) $ 213,025 $ ( 20,010 ) $ 6,328,559 Trading: USDA Securities (4) $ 4,299 $ 134 $ 4,433 $ — $ 1 $ ( 33 ) $ 4,401 (1) Amounts presented exclude $ 29.8 million, $ 42.1 million, and $ 0.1 million of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of December 31, 2021. (2) Represents the amount of impairment that has resulted from credit-related factors, and therefore was recognized in the statement of financial operations as a provision for losses. Amount excludes unrealized losses relating to non-credit factors. (3) Fair value includes $ 12.4 million of an interest-only security with a notional amount of $ 275.4 million. (4) The trading USDA securities had a weighted average yield of 5.05 % as of December 31, 2021. 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: Table 3.2 As of September 30, 2022 Held-to-Maturity and Available-for-Sale Securities Unrealized loss position for less than 12 months Unrealized loss position for more than 12 months Fair Value Unrealized Loss Fair Value Unrealized Loss (in thousands) Held-to-maturity: AgVantage $ 866,689 $ ( 15,176 ) $ 379,508 $ ( 45,492 ) Farmer Mac Guaranteed USDA Securities 19,493 ( 1,760 ) — — USDA Securities 2,019,045 ( 398,119 ) — — Total held-to-maturity $ 2,905,227 $ ( 415,055 ) $ 379,508 $ ( 45,492 ) Available-for-sale: AgVantage $ 5,431,594 $ ( 372,439 ) $ 951,481 $ ( 73,641 ) Farmer Mac Guaranteed Securities 8,241 ( 2,851 ) — — Total available-for-sale $ 5,439,835 $ ( 375,290 ) $ 951,481 $ ( 73,641 ) 20 As of December 31, 2021 Held-to-Maturity and Available-for-Sale Securities Unrealized loss position for less than 12 months Unrealized loss position for more than 12 months Fair Value Unrealized Loss Fair Value Unrealized Loss (in thousands) Held-to-maturity: AgVantage $ 1,387,236 $ ( 12,764 ) $ — $ — USDA Securities — — — — Total held-to-maturity $ 1,387,236 $ ( 12,764 ) $ — $ — Available-for-sale: 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 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 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 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. 21 The amortized cost, fair value, and weighted-average yield of available-for-sale and held-to-maturity Farmer Mac Guaranteed Securities and USDA Securities by remaining contractual maturity as of September 30, 2022 are set forth below. The balances presented are based on their contractual maturities, although the actual maturities may differ due to prepayments of the underlying assets. Table 3.3 As of September 30, 2022 Available-for-Sale Securities Amortized Cost (1) Fair Value Weighted- Average Yield (dollars in thousands) Due within one year $ 1,264,459 $ 1,260,840 3.14 % Due after one year through five years 3,042,213 2,890,360 3.03 % Due after five years through ten years 1,389,102 1,279,044 3.29 % Due after ten years 1,725,821 1,543,758 3.53 % Total $ 7,421,595 $ 6,974,002 3.21 % (1) Amounts presented exclude $ 44.0 million of accrued interest receivable. As of September 30, 2022 Held-to-Maturity Securities Amortized Cost (1) Fair Value Weighted- Average Yield (dollars in thousands) Due within one year $ 613,850 $ 606,761 2.17 % Due after one year through five years 727,249 664,058 1.97 % Due after five years through ten years 266,980 227,512 3.06 % Due after ten years 2,148,654 1,797,978 3.25 % Total $ 3,756,733 $ 3,296,309 2.79 % (1) Amounts presented exclude $ 41.1 million of accrued interest receivable. 4. FINANCIAL DERIVATIVES Farmer Mac enters into financial derivative transactions to protect against risk from the effects of market price, or interest rate movements, on the value of certain assets, future cash flows, or debt issuance, and not for trading or speculative purposes. For more information about Farmer Mac's financial derivatives, see Note 6 in Farmer Mac's Annual Report on Form 10-K for the fiscal year ended December 31, 2021, as filed with the SEC on February 28, 2022. 22 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. Table 4.1 As of September 30, 2022 Fair Value Weighted- Average Pay Rate Weighted- Average Receive Rate Weighted- Average Forward Price Weighted- Average Remaining Term (in years) Notional Amount Asset (Liability) (dollars in thousands) Fair value hedges: Interest rate swaps: 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 Cash flow hedges: Interest rate swaps: Pay fixed non-callable 607,000 29,525 ( 4 ) 1.94 % 3.39 % 5.23 No hedge designation: Interest rate swaps: Pay fixed non-callable 197,032 1,611 ( 44 ) 3.10 % 2.61 % 4.62 Receive fixed non-callable 404,350 — ( 345 ) 2.88 % 0.46 % 1.39 Basis swaps 1,818,911 310 ( 572 ) 3.02 % 3.15 % 2.63 Treasury futures 32,700 536 ( 18 ) 113.64 Netting adjustments (1) ( 11,228 ) 11,228 Total financial derivatives $ 22,402,528 $ 49,968 $ ( 184,554 ) (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. 23 As of December 31, 2021 Fair Value Weighted- Average Pay Rate Weighted- Average Receive Rate Weighted- Average Forward Price Weighted- Average Remaining Term (in years) Notional Amount Asset (Liability) (dollars in thousands) Fair value hedges: Interest rate swaps: Pay fixed non-callable $ 6,238,438 $ 205 $ ( 9,525 ) 2.06 % 0.13 % 11.64 Receive fixed non-callable 5,884,529 974 ( 1,475 ) 0.17 % 0.88 % 2.27 Receive fixed callable 1,571,577 103 ( 17,612 ) 0.01 % 0.80 % 4.17 Cash flow hedges: Interest rate swaps: Pay fixed non-callable 570,000 5,426 ( 3,095 ) 1.93 % 0.49 % 5.72 No hedge designation: Interest rate swaps: Pay fixed non-callable 229,062 52 ( 4,807 ) 3.22 % 0.16 % 4.95 Receive fixed non-callable 1,377,250 115 ( 132 ) 0.13 % 0.43 % 0.97 Basis swaps 1,608,911 507 ( 296 ) 0.17 % 0.20 % 3.31 Treasury futures 67,600 73 — 130.58 Credit valuation adjustment — 14 Netting adjustments (1) ( 1,374 ) 1,374 Total financial derivatives $ 17,547,367 $ 6,081 $ ( 35,554 ) (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 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. 24 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: Table 4.2 For the Three Months Ended September 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 $ 21,581 $ 74,695 $ 97,514 $ ( 125,937 ) $ 772 $ 68,625 Income/(expense) related to interest settlements on fair value hedging relationships: Recognized on derivatives 957 ( 350 ) 1,837 ( 22,679 ) — ( 20,235 ) Recognized on hedged items 4,617 35,763 14,857 ( 35,263 ) — 19,974 Premium/discount amortization recognized on hedged items ( 59 ) — — ( 549 ) — ( 608 ) Income/(expense) related to interest settlements on fair value hedging relationships $ 5,515 $ 35,413 $ 16,694 $ ( 58,491 ) $ — $ ( 869 ) Gains/(losses) on fair value hedging relationships: Recognized on derivatives $ 49,373 $ 201,864 $ 105,683 $ ( 197,884 ) $ — $ 159,036 Recognized on hedged items ( 52,308 ) ( 204,765 ) ( 100,490 ) 197,902 — ( 159,661 ) Gains/(losses) on fair value hedging relationships $ ( 2,935 ) $ ( 2,901 ) $ 5,193 $ 18 $ — $ ( 625 ) Expense related to interest settlements on cash flow hedging relationships: Interest settlements reclassified from AOCI into net income on derivatives $ — $ — $ — $ 1,072 $ — $ 1,072 Recognized on hedged items — — — ( 4,046 ) — ( 4,046 ) Discount amortization recognized on hedged items — — — ( 15 ) — ( 15 ) Expense recognized on cash flow hedges $ — $ — $ — $ ( 2,989 ) $ — $ ( 2,989 ) Gains on financial derivatives not designated in hedging relationships: Gains on interest rate swaps $ — $ — $ — $ — $ 5,054 $ 5,054 Interest expense on interest rate swaps — — — — ( 2,613 ) ( 2,613 ) Treasury futures — — — — ( 1,669 ) ( 1,669 ) Gains on financial derivatives not designated in hedge relationships $ — $ — $ — $ — $ 772 $ 772 25 For the Three 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 Losses on financial derivatives (in thousands) Total amounts presented in the consolidated statement of operations $ 4,121 $ 42,339 $ 61,923 $ ( 49,467 ) $ ( 888 ) $ 58,028 Income/(expense) related to interest settlements on fair value hedging relationships: Recognized on derivatives ( 141 ) ( 20,925 ) ( 6,911 ) 10,886 — ( 17,091 ) Recognized on hedged items 274 28,937 11,817 ( 12,940 ) — 28,088 Discount amortization recognized on hedged items — — — ( 287 ) — ( 287 ) Income/(expense) related to interest settlements on fair value hedging relationships $ 133 $ 8,012 $ 4,906 $ ( 2,341 ) $ — $ 10,710 Gains/(losses) on fair value hedging relationships: Recognized on derivatives $ 1,827 $ 33,972 $ 19,652 $ ( 9,727 ) $ — $ 45,724 Recognized on hedged items ( 1,737 ) ( 31,523 ) ( 19,184 ) 8,712 — ( 43,732 ) Gains/(losses) on fair value hedging relationships $ 90 $ 2,449 $ 468 $ ( 1,015 ) $ — $ 1,992 Expense related to interest settlements on cash flow hedging relationships: Interest settlements reclassified from AOCI into net income on derivatives $ — $ — $ — $ ( 1,932 ) $ — $ ( 1,932 ) Recognized on hedged items — — — ( 685 ) — ( 685 ) Discount amortization recognized on hedged items — — — ( 11 ) — ( 11 ) Expense recognized on cash flow hedges $ — $ — $ — $ ( 2,628 ) $ — $ ( 2,628 ) Losses on financial derivatives not designated in hedging relationships: Losses on interest rate swaps $ — $ — $ — $ — $ ( 634 ) $ ( 634 ) Interest expense on interest rate swaps — — — — 168 168 Treasury futures — — — — ( 422 ) ( 422 ) Losses on financial derivatives not designated in hedge relationships $ — $ — $ — $ — $ ( 888 ) $ ( 888 ) 26 For the Nine Months Ended September 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 $ 38,497 $ 169,231 $ 241,393 $ ( 251,816 ) $ 21,551 $ 218,856 Income/(expense) related to interest settlements on fair value hedging relationships: Recognized on derivatives ( 1,536 ) ( 37,687 ) ( 9,568 ) ( 3,831 ) — ( 52,622 ) Recognized on hedged items 10,433 102,123 41,146 ( 76,862 ) — 76,840 Premium/discount amortization recognized on hedged items ( 816 ) — — ( 1,478 ) — ( 2,294 ) Income/(expense) related to interest settlements on fair value hedging relationships $ 8,081 $ 64,436 $ 31,578 $ ( 82,171 ) $ — $ 21,924 Gains/(losses) on fair value hedging relationships: Recognized on derivatives $ 106,935 $ 563,897 $ 347,034 $ ( 523,432 ) $ — $ 494,434 Recognized on hedged items ( 108,002 ) ( 564,679 ) ( 337,443 ) 521,643 — ( 488,481 ) Gains/(losses) on fair value hedging relationships $ ( 1,067 ) $ ( 782 ) $ 9,591 $ ( 1,789 ) $ — $ 5,953 Expense related to interest settlements on cash flow hedging relationships: Interest settlements reclassified from AOCI into net income on derivatives $ — $ — $ — $ ( 2,094 ) $ — $ ( 2,094 ) Recognized on hedged items — — — ( 6,654 ) — ( 6,654 ) Discount amortization recognized on hedged items — — — ( 43 ) — ( 43 ) Expense recognized on cash flow hedges $ — $ — $ — $ ( 8,791 ) $ — $ ( 8,791 ) Gains on financial derivatives not designated in hedging relationships: Gains on interest rate swaps $ — $ — $ — $ — $ 10,954 $ 10,954 Interest expense on interest rate swaps — — — — ( 5,496 ) ( 5,496 ) Treasury futures — — — — 16,093 16,093 Gains on financial derivatives not designated in hedge relationships $ — $ — $ — $ — $ 21,551 $ 21,551 27 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 Losses on financial derivatives (in thousands) Total amounts presented in the consolidated statement of operations: $ 14,107 $ 127,976 $ 181,631 $ ( 155,599 ) $ 2,581 $ 170,696 Income/(expense) related to interest settlements on fair value hedging relationships: Recognized on derivatives ( 177 ) ( 63,966 ) ( 20,185 ) 30,178 — ( 54,150 ) Recognized on hedged items 341 90,278 34,940 ( 36,889 ) — 88,670 Discount amortization recognized on hedged items — — — ( 765 ) — ( 765 ) Income/(expense) related to interest settlements on fair value hedging relationships $ 164 $ 26,312 $ 14,755 $ ( 7,476 ) $ — $ 33,755 Gains/(losses) on fair value hedging relationships: Recognized on derivatives $ 1,651 $ 154,188 $ 100,276 $ ( 41,838 ) $ — $ 214,277 Recognized on hedged items ( 1,549 ) ( 150,445 ) ( 99,955 ) 39,104 — ( 212,845 ) Gains/(losses) on fair value hedging relationships $ 102 $ 3,743 $ 321 $ ( 2,734 ) $ — $ 1,432 Expense related to interest settlements on cash flow hedging relationships: Interest settlements reclassified from AOCI into net income on derivatives $ — $ — $ — $ ( 5,454 ) $ — $ ( 5,454 ) Recognized on hedged items — — — ( 1,983 ) — ( 1,983 ) Discount amortization recognized on hedged items — — — ( 25 ) — ( 25 ) Expense recognized on cash flow hedges $ — $ — $ — $ ( 7,462 ) $ — $ ( 7,462 ) (Losses)/gains on financial derivatives not designated in hedge relationships: Losses on interest rate swaps $ — $ — $ — $ — $ ( 662 ) $ ( 662 ) Interest expense on interest rate swaps — — — — 3,489 3,489 Treasury futures — — — — ( 246 ) ( 246 ) Losses on financial derivatives not designated in hedge relationships $ — $ — $ — $ — $ 2,581 $ 2,581 28 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 September 30, 2022 and December 31, 2021: Table 4.3 Hedged Items in Fair Value Relationship Carrying Amount of Hedged Assets/(Liabilities) Cumulative Amount of Fair Value Hedging Adjustments included in the Carrying Amount of the Hedged Assets/(Liabilities) September 30, 2022 December 31, 2021 September 30, 2022 December 31, 2021 (in thousands) Investment securities, Available-for-Sale, at fair value $ 773,071 $ 458,653 $ ( 109,220 ) $ ( 1,218 ) Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value 4,624,461 4,276,002 ( 358,160 ) 206,520 Loans held for investment, at amortized cost 1,610,641 1,668,142 ( 323,559 ) 13,832 Notes Payable (1) ( 10,700,388 ) ( 7,081,150 ) 566,406 39,992 (1) Carrying amount represents amortized cost. 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: Table 4.4 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) Net Amount (in thousands) Assets: 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 Liabilities: 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. 29 December 31, 2021 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) Net Amount (in thousands) Assets: 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 Liabilities: 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 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 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. 5. LOANS Farmer Mac classifies loans as either held for investment or held for sale. Loans held for investment are recorded at the unpaid principal balance, net of unamortized premium or discount and other cost basis adjustments. Loans held for sale are reported at the lower of cost or fair value determined on a pooled basis. As of both 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: 30 Table 5.1 As of September 30, 2022 As of December 31, 2021 Unsecuritized In Consolidated Trusts Total Unsecuritized In Consolidated Trusts Total (in thousands) Agricultural Finance mortgage loans $ 6,254,755 $ 1,120,403 $ 7,375,158 $ 5,898,370 $ 948,623 $ 6,846,993 Rural Infrastructure Finance loans 2,885,693 — 2,885,693 2,389,136 — 2,389,136 Total unpaid principal balance (1) 9,140,448 1,120,403 10,260,851 8,287,506 948,623 9,236,129 Unamortized premiums, discounts, fair value hedge basis adjustment, and other cost basis adjustments ( 322,665 ) — ( 322,665 ) 26,590 — 26,590 Total loans 8,817,783 1,120,403 9,938,186 8,314,096 948,623 9,262,719 Allowance for losses ( 12,599 ) ( 403 ) ( 13,002 ) ( 13,477 ) ( 564 ) ( 14,041 ) Total loans, net of allowance $ 8,805,184 $ 1,120,000 $ 9,925,184 $ 8,300,619 $ 948,059 $ 9,248,678 (1) Unpaid principal balance is the basis of presentation in disclosures of outstanding balances for Farmer Mac's lines of business. 31 Allowance for Losses The following table is a summary, by asset type, of the allowance for losses as of September 30, 2022 and December 31, 2021: Table 5.2 September 30, 2022 December 31, 2021 Allowance for Losses Allowance for Losses (in thousands) Loans: Agricultural Finance mortgage loans $ 4,196 $ 3,442 Rural Infrastructure Finance loans 8,806 10,599 Total $ 13,002 $ 14,041 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: Table 5.3 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 (in thousands) Agricultural Finance mortgage loans Beginning Balance $ 4,015 $ 3,092 $ 3,442 $ 3,745 Provision for/(release of) losses 181 414 838 ( 239 ) Charge-offs — — ( 84 ) — Ending Balance (1) $ 4,196 $ 3,506 $ 4,196 $ 3,506 Rural Infrastructure Finance loans Beginning Balance $ 8,388 $ 10,908 $ 10,599 $ 10,087 Provision for/(release of) losses 418 ( 120 ) ( 1,793 ) 701 Charge-offs — — — — Ending Balance (2) $ 8,806 $ 10,788 $ 8,806 $ 10,788 (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. 32 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 $ 0.8 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: Table 5.4 As of September 30, 2022 Accruing Current 30-59 Days 60-89 Days 90 Days and Greater (2) Total Past Due Nonaccrual loans (3)(4) Total Loans (in thousands) Loans (1) : Agricultural Finance mortgage loans $ 7,277,623 $ 4,665 $ 2,424 $ 6,239 $ 13,328 $ 84,207 $ 7,375,158 Rural Infrastructure Finance loans 2,885,693 — — — — — 2,885,693 Total $ 10,163,316 $ 4,665 $ 2,424 $ 6,239 $ 13,328 $ 84,207 $ 10,260,851 (1) Amounts represent unpaid principal balance of risk-rated loans, which is the basis Farmer Mac uses to analyze its portfolio, and recorded investment of past due loans. (2) Includes loans in consolidated trusts with beneficial interests owned by third parties that are 90 days or more past due. (3) Includes loans that are 90 days or more past due, in foreclosure, or in bankruptcy with at least one missed payment, excluding loans performing under either their original loan terms or a court-approved bankruptcy plan. (4) Includes $ 33.9 million of nonaccrual loans for which there was no associated allowance. 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. 33 As of December 31, 2021 Accruing Current 30-59 Days 60-89 Days 90 Days and Greater (2) Total Past Due Nonaccrual loans (3)(4) Total Loans (in thousands) Loans (1) : Agricultural Finance mortgage loans $ 6,715,070 $ 4,548 $ 568 $ — $ 5,116 $ 126,807 $ 6,846,993 Rural Infrastructure Finance loans 2,389,136 — — — — — 2,389,136 Total $ 9,104,206 $ 4,548 $ 568 $ — $ 5,116 $ 126,807 $ 9,236,129 (1) Amounts represent unpaid principal balance of risk-rated loans, which is the basis Farmer Mac uses to analyze its portfolio, and recorded investment of past due loans. (2) Includes loans in consolidated trusts with beneficial interests owned by third parties that are 90 days or more past due. (3) Includes loans that are 90 days or more past due, in foreclosure, or in bankruptcy with at least one missed payment, excluding loans performing under either their original loan terms or a court-approved bankruptcy plan. (4) Includes $ 31.0 million of nonaccrual loans for which there was no associated allowance. During the year ended December 31, 2021, Farmer Mac received $ 5.0 million in interest on nonaccrual loans. 34 Credit Quality Indicators 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: Table 5.5 As of September 30, 2022 Year of Origination: 2022 2021 2020 2019 2018 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Agricultural Finance mortgage loans (1) : Internally Assigned Risk Rating: Acceptable $ 1,086,064 $ 2,023,008 $ 1,424,641 $ 484,523 $ 290,051 $ 1,009,207 $ 593,106 $ 6,910,600 Special mention (2) 64,238 89,605 33,431 32,408 35,735 26,774 7,630 289,821 Substandard (3) 1,887 10,087 22,423 24,028 18,146 78,282 19,884 174,737 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 September 30, 2022: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — Current period recoveries — — — — — — — — Current period Agricultural Finance net charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 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. (2) Assets in the "Special mention" category generally have potential weaknesses due to performance issues but are currently considered to be adequately secured. (3) Substandard assets have a well-defined weakness or weaknesses and there is a distinct possibility that some loss will be sustained if deficiencies are not corrected. 35 As of September 30, 2022 Year of Origination: 2022 2021 2020 2019 2018 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Rural Infrastructure Finance loans (1) : Internally Assigned Risk Rating: Acceptable $ 584,273 $ 230,232 $ 634,474 $ 748,381 $ 7,932 $ 653,100 $ 27,301 $ 2,885,693 Special mention (2) — — — — — — — — Substandard (3) — — — — — — — — Total $ 584,273 $ 230,232 $ 634,474 $ 748,381 $ 7,932 $ 653,100 $ 27,301 $ 2,885,693 For the Three Months Ended September 30, 2022: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — Current period recoveries — — — — — — — — Current period Rural Infrastructure net charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 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. (2) Assets in the "Special mention" category generally have potential weaknesses due to performance issues but are currently considered to be adequately secured. (3) Substandard assets have a well-defined weakness or weaknesses and there is a distinct possibility that some loss will be sustained if deficiencies are not corrected. 36 As of December 31, 2021 Year of Origination: 2021 2020 2019 2018 2017 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Agricultural Finance mortgage loans (1) : Internally Assigned Risk Rating: Acceptable $ 2,138,060 $ 1,541,509 $ 540,139 $ 324,917 $ 303,852 $ 1,004,709 $ 545,370 $ 6,398,556 Special mention (2) 84,795 50,057 51,200 48,078 9,132 14,646 4,771 262,679 Substandard (3) 1,654 4,997 26,237 27,109 38,703 75,780 11,278 185,758 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 September 30, 2021: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — Current period recoveries — — — — — — — — Current period Agricultural Finance net charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 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. (2) Assets in the "Special mention" category generally have potential weaknesses due to performance issues but are currently considered to be adequately secured. (3) Substandard assets have a well-defined weakness or weaknesses and there is a distinct possibility that some loss will be sustained if deficiencies are not corrected. 37 As of December 31, 2021 Year of Origination: 2021 2020 2019 2018 2017 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Rural Infrastructure Finance loans (1) : Internally Assigned Risk Rating: Acceptable $ 242,570 $ 612,366 $ 774,941 $ 8,100 $ 86,878 $ 628,903 $ 12,578 $ 2,366,336 Special mention (2) — — — — — — — — Substandard (3) — 22,800 — — — — — 22,800 Total $ 242,570 $ 635,166 $ 774,941 $ 8,100 $ 86,878 $ 628,903 $ 12,578 $ 2,389,136 For the Three Months Ended September 30, 2021: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — Current period recoveries — — — — — — — — Current period Rural Infrastructure net charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 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) Assets in the "Special mention" category generally have potential weaknesses due to performance issues but are currently considered to be adequately secured. (3) Substandard assets have a well-defined weakness or weaknesses and there is a distinct possibility that some loss will be sustained if deficiencies are not corrected. 6. GUARANTEES 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 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: Table 6.1 Outstanding Balance of Off-Balance Sheet Farmer Mac Guaranteed Securities As of September 30, 2022 As of December 31, 2021 (in thousands) Agricultural Finance Farmer Mac Guaranteed Securities $ 509,114 $ 578,358 Rural Infrastructure Finance Farmer Mac Guaranteed Securities 2,755 2,755 Total off-balance sheet Farmer Mac Guaranteed Securities $ 511,869 $ 581,113 38 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: Table 6.2 For the Nine Months Ended September 30, 2022 September 30, 2021 (in thousands) Proceeds from new securitizations $ 305,410 $ 84,131 Guarantee fees received 1,464 848 Farmer Mac presents a liability for its obligation to stand ready under its guarantee in "Guarantee and commitment obligation" on the consolidated balance sheets. The following table presents the liability and the weighted-average remaining maturity of all loans underlying off-balance sheet Farmer Mac Guaranteed Securities: Table 6.3 As of September 30, 2022 As of December 31, 2021 (dollars in thousands) Guarantee and commitment obligation $ 6,607 $ 7,355 Weighted average remaining maturity: Farmer Mac Guaranteed Securities 21.4 years 21.7 years AgVantage Securities 2.2 years 3.0 years Long-Term Standby Purchase Commitments Farmer Mac has recorded a liability for its obligation to stand ready under the commitment in the guarantee and commitment obligation on the consolidated balance sheets. The following table presents the liability, the maximum principal amount of potential undiscounted future payments that Farmer Mac could be requested to make under all LTSPCs, not including offsets provided by any recourse provisions, recoveries from third parties, or collateral for the underlying loans, as well as the weighted-average remaining maturity of all loans underlying LTSPCs: Table 6.4 As of September 30, 2022 As of December 31, 2021 (dollars in thousands) Guarantee and commitment obligation (1) $ 39,118 $ 36,571 Maximum principal amount 3,378,654 3,191,061 Weighted-average remaining maturity 15.4 years 15.5 years (1) Relates to LTSPCs issued or modified on or after January 1, 2003. 39 Reserve for Losses The following table is a summary, by asset type, of the reserve for losses as of September 30, 2022 and December 31, 2021: Table 6.5 September 30, 2022 December 31, 2021 Reserve for Losses Reserve for Losses (in thousands) Agricultural Finance: LTSPCs and Farmer Mac Guaranteed Securities $ 743 $ 1,068 Rural Infrastructure Finance LTSPCs 767 882 Total $ 1,510 $ 1,950 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: Table 6.6 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 (in thousands) Agricultural Finance mortgage loans Beginning Balance $ 882 $ 1,194 $ 1,068 $ 2,097 Release of losses ( 139 ) ( 91 ) ( 325 ) ( 994 ) Charge-offs — — — — Ending Balance $ 743 $ 1,103 $ 743 $ 1,103 Rural Infrastructure Finance loans Beginning Balance $ 795 $ 917 $ 882 $ 1,180 Release of losses ( 28 ) ( 20 ) ( 115 ) ( 283 ) Charge-offs — — — — 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 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. 40 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 September 30, 2022 and December 31, 2021: Table 6.7 As of September 30, 2022 Current 30-59 Days 60-89 Days 90 Days and Greater (1) Total Past Due Total Loans (in thousands) Agricultural Finance: LTSPCs and Farmer Mac Guaranteed Securities $ 3,127,963 $ 2,586 $ 626 $ 2,217 $ 5,429 $ 3,133,392 Rural Infrastructure: LTSPCs $ 541,228 $ — $ — $ — $ — $ 541,228 (1) Includes loans underlying off-balance sheet Agricultural Finance Guaranteed Securities and LTSPCs that are 90 days of more past due, in foreclosure, or in bankruptcy with at least one missed payment, excluding loans performing under either their original loan terms or a court-approved bankruptcy plan. As of December 31, 2021 Current 30-59 Days 60-89 Days 90 Days and Greater (1) Total Past Due Total Loans (in thousands) Agricultural Finance: LTSPCs and Farmer Mac Guaranteed Securities $ 2,953,091 $ 8,068 $ — $ 3,597 $ 11,665 $ 2,964,756 Rural Infrastructure: LTSPCs $ 556,837 $ — $ — $ — $ — $ 556,837 (1) Includes loans underlying off-balance sheet Agricultural Finance Guaranteed Securities and LTSPCs that are 90 days of more past due, in foreclosure, or in bankruptcy with at least one missed payment, excluding loans performing under either their original loan terms or a court-approved bankruptcy plan. Credit Quality Indicators The following tables present credit quality indicators related to 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: 41 Table 6.8 As of September 30, 2022 Year of Origination: 2022 2021 2020 2019 2018 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Agricultural Finance LTSPCs and Farmer Mac Guaranteed Securities: Internally Assigned Risk Rating: Acceptable $ 162,839 $ 489,795 $ 529,605 $ 247,696 $ 199,766 $ 1,148,637 $ 267,764 $ 3,046,102 Special mention (1) — 1,329 826 — 1,209 42,659 9,128 55,151 Substandard (2) — — 176 — 3,596 24,947 3,420 32,139 Total $ 162,839 $ 491,124 $ 530,607 $ 247,696 $ 204,571 $ 1,216,243 $ 280,312 $ 3,133,392 For the Three Months Ended September 30, 2022: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — Current period recoveries — — — — — — — — Current period Agricultural Finance net charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 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. 42 As of September 30, 2022 Year of Origination: 2022 2021 2020 2019 2018 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Rural Infrastructure Finance LTSPCs: Internally Assigned Risk Rating: Acceptable $ — $ — $ — $ — $ — $ 482,427 $ 58,801 $ 541,228 Special mention (1) — — — — — — — — Substandard (2) — — — — — — — — Total $ — $ — $ — $ — $ — $ 482,427 $ 58,801 $ 541,228 For the Three Months Ended September 30, 2022: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — Current period recoveries — — — — — — — — Current period Rural Infrastructure net charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 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. (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. 43 As of December 31, 2021 Year of Origination: 2021 2020 2019 2018 2017 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Agricultural Finance LTSPCs and Farmer Mac Guaranteed Securities: Internally Assigned Risk Rating: Acceptable $ 376,027 $ 537,521 $ 244,365 $ 188,452 $ 235,865 $ 1,013,937 $ 252,039 $ 2,848,206 Special mention (1) — 5,270 — 6,808 3,154 38,042 2,354 55,628 Substandard (2) — 1,307 724 5,038 12,793 37,326 3,734 60,922 Total $ 376,027 $ 544,098 $ 245,089 $ 200,298 $ 251,812 $ 1,089,305 $ 258,127 $ 2,964,756 For the Three Months Ended September 30, 2021: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — Current period recoveries — — — — — — — — Current period Agricultural Finance net charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 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. (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. 44 As of December 31, 2021 Year of Origination: 2021 2020 2019 2018 2017 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Rural Infrastructure Finance LTSPCs: Internally Assigned Risk Rating: Acceptable $ — $ — $ — $ — $ — $ 499,594 $ 57,243 $ 556,837 Special mention (1) — — — — — — — — Substandard (2) — — — — — — — — Total $ — $ — $ — $ — $ — $ 499,594 $ 57,243 $ 556,837 For the Three Months Ended September 30, 2021: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — Current period recoveries — — — — — — — — Current period Rural Infrastructure net charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 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. (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. 7. NOTES PAYABLE Farmer Mac's borrowings consist of discount notes and medium-term notes, both of which are unsecured general obligations of Farmer Mac. Discount notes generally have original maturities of 1.0 year or less, whereas medium-term notes generally have maturities of 0.5 years to 25.0 years. The following tables set forth information related to Farmer Mac's borrowings as of September 30, 2022 and December 31, 2021: 45 Table 7.1 September 30, 2022 Outstanding as of September 30 Average Outstanding During the Quarter Amount Weighted- Average Rate Amount Weighted- Average Rate (dollars in thousands) Due within one year: Discount notes $ 867,588 2.07 % $ 1,525,565 0.67 % Medium-term notes 1,905,291 2.78 % 1,166,242 1.39 % Current portion of medium-term notes 4,618,265 1.31 % Total due within one year $ 7,391,144 1.78 % Due after one year: Medium-term notes due in: Two years $ 4,057,284 1.40 % Three years 3,184,014 1.59 % Four years 2,534,177 1.28 % Five years 2,705,529 2.10 % Thereafter 4,194,915 2.34 % Total due after one year $ 16,675,919 1.77 % Total principal net of discounts $ 24,067,063 1.77 % Hedging adjustments ( 566,406 ) Total $ 23,500,657 December 31, 2021 Outstanding as of December 31 Average Outstanding During the Year Amount Weighted- Average Rate Amount Weighted- Average Rate (dollars in thousands) Due within one year: Discount notes $ 2,167,979 0.05 % $ 1,822,714 0.08 % Medium-term notes 837,580 0.09 % 1,956,870 0.12 % Current portion of medium-term notes 3,981,240 0.75 % Total due within one year $ 6,986,799 0.45 % Due after one year: Medium-term notes due in: Two years $ 4,179,985 0.81 % Three years 2,554,906 0.87 % Four years 2,119,805 0.85 % Five years 2,810,894 1.07 % Thereafter 4,106,144 1.69 % Total due after one year $ 15,771,734 1.10 % Total principal net of discounts $ 22,758,533 0.90 % Hedging adjustments ( 44,762 ) Total $ 22,713,771 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. 46 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 September 30, 2022: Table 7.2 Debt Callable in 2022 as of September 30, 2022, by Maturity Amount Weighted-Average Rate (dollars in thousands) Maturity: 2023 $ 228,884 0.43 % 2024 247,407 0.60 % 2025 236,680 0.93 % 2026 748,989 1.20 % Thereafter 1,101,493 1.85 % 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 September 30, 2022, including callable and non-callable medium-term notes, assuming callable notes are redeemed at the initial call date: Table 7.3 Earliest Interest Rate Reset Date, or Debt Maturities, of Borrowings Outstanding Amount Weighted-Average Rate (dollars in thousands) Debt with interest rate resets, or debt maturities in: 2022 $ 4,168,080 2.55 % 2023 5,824,466 1.52 % 2024 3,627,164 1.35 % 2025 2,742,230 1.44 % 2026 2,749,594 1.18 % Thereafter 4,955,529 2.24 % Total principal net of discounts $ 24,067,063 1.77 % 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. Treasury Farmer Mac's statutory charter authorizes it, upon satisfying certain conditions, to borrow up to $ 1.5 billion from the U.S. Treasury through the issuance of debt obligations to the U.S. Treasury. Any funds borrowed from the U.S. Treasury may be used solely to fulfill Farmer Mac's guarantee obligations. Any debt obligations issued by Farmer Mac under this authority would bear interest at a rate determined by the U.S. Treasury, taking into consideration the average rate on outstanding marketable obligations of the United States as of the last day of the last calendar month ending before the date of the purchase of the obligations from Farmer Mac. The charter requires Farmer Mac to repurchase any of its debt obligations held by the U.S. Treasury within a reasonable time. As of September 30, 2022, Farmer Mac had not used this borrowing authority. 47 Gains on Repurchase of Outstanding Debt 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 . 8. EQUITY Common Stock 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. 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. During first quarter 2020, Farmer Mac repurchased approximately 4,000 shares of Class C non-voting common stock at a cost of approximately $ 0.2 million. Shortly after these repurchases were completed, Farmer Mac indefinitely suspended its share repurchase program in an effort to preserve capital and liquidity in view of market volatility and uncertainty caused by the COVID-19 pandemic. In March 2021, Farmer Mac's board of directors reinstated the share repurchase program on its previous terms (with a remaining authorization of up to $ 9.8 million in stock repurchases) and extended the expiration date of the program to March 2023. 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 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 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. In accordance with the Farm Credit Administration's rule on Farmer Mac's capital planning, and as part of Farmer Mac's capital plan, Farmer Mac has adopted a policy for maintaining a sufficient level of Tier 1 capital (consisting of retained earnings, paid-in-capital, common stock, and qualifying preferred stock) and imposing restrictions on Tier 1-eligible dividends and any discretionary bonus payments in the event that this capital falls below specified thresholds. 48 9. FAIR VALUE DISCLOSURES Fair Value Classification and Transfers The following tables present information about Farmer Mac's assets and liabilities measured at fair value on a recurring basis as of 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: Table 9.1 Assets and Liabilities Measured at Fair Value as of September 30, 2022 Level 1 Level 2 Level 3 (1) Total (in thousands) Recurring: Assets: Investment Securities: Available-for-sale: Floating rate auction-rate certificates backed by Government guaranteed student loans $ — $ — $ 19,243 $ 19,243 Floating rate Government/GSE guaranteed mortgage-backed securities — 2,360,528 — 2,360,528 Fixed rate GSE guaranteed mortgage-backed securities — 841,704 — 841,704 Fixed rate U.S. Treasuries 1,180,404 — — 1,180,404 Total Available-for-sale Investment Securities 1,180,404 3,202,232 19,243 4,401,879 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage — — 6,965,761 6,965,761 Farmer Mac Guaranteed Securities — — 8,241 8,241 Total Farmer Mac Guaranteed Securities — — 6,974,002 6,974,002 USDA Securities: Trading — — 1,851 1,851 Total USDA Securities — — 1,851 1,851 Financial derivatives 536 49,432 — 49,968 Guarantee Asset — — 4,692 4,692 Total Assets at fair value $ 1,180,940 $ 3,251,664 $ 6,999,788 $ 11,432,392 Liabilities: Financial derivatives $ 18 $ 184,536 $ — $ 184,554 Total Liabilities at fair value $ 18 $ 184,536 $ — $ 184,554 (1) Level 3 assets represent 26 % of total assets and 60 % of financial instruments measured at fair value. 49 Assets and Liabilities Measured at Fair Value as of December 31, 2021 Level 1 Level 2 Level 3 (1) Total (in thousands) Recurring: Assets: Investment Securities: Available-for-sale: Floating rate auction-rate certificates backed by Government guaranteed student loans $ — $ — $ 19,254 $ 19,254 Floating rate Government/GSE guaranteed mortgage-backed securities — 2,178,831 — 2,178,831 Fixed rate GSE guaranteed mortgage-backed securities — 458,837 — 458,837 Fixed rate U.S. Treasuries 1,179,469 — — 1,179,469 Total Available-for-sale Investment Securities 1,179,469 2,637,668 19,254 3,836,391 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage — — 6,316,145 6,316,145 Farmer Mac Guaranteed Securities — — 12,414 12,414 Total Farmer Mac Guaranteed Securities — — 6,328,559 6,328,559 USDA Securities: Trading — — 4,401 4,401 Total USDA Securities — — 4,401 4,401 Financial derivatives 73 6,008 — 6,081 Guarantee Asset — — 6,237 6,237 Total Assets at fair value $ 1,179,542 $ 2,643,676 $ 6,358,451 $ 10,181,669 Liabilities: Financial derivatives $ — $ 35,554 $ — $ 35,554 Total Liabilities at fair value $ — $ 35,554 $ — $ 35,554 Non-recurring: Assets Mortgage Servicing Rights $ — $ — $ 2,681 $ 2,681 Total non-recurring assets at fair value $ — $ — $ 2,681 $ 2,681 (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 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 nine months ended September 30, 2022 and 2021, there were no transfers within the fair value hierarchy. 50 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 nine months ended September 30, 2022 and 2021. Table 9.2 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 included in Income Unrealized gains/(losses) included in Other Comprehensive Income Ending Balance (in thousands) Recurring: Assets: Investment Securities: Available-for-sale: Floating rate auction-rate certificates backed by Government guaranteed student loans $ 19,061 $ — $ — $ — $ 11 $ — $ 171 $ 19,243 Total available-for-sale 19,061 — — — 11 — 171 19,243 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage 6,440,396 1,370,000 — ( 627,131 ) ( 11 ) ( 204,450 ) ( 13,043 ) 6,965,761 Farmer Mac Guaranteed Securities 9,816 — — ( 468 ) — — ( 1,107 ) 8,241 Total available-for-sale 6,450,212 1,370,000 — ( 627,599 ) ( 11 ) ( 204,450 ) ( 14,150 ) 6,974,002 USDA Securities: Trading 2,275 — — ( 383 ) — ( 41 ) — 1,851 Total USDA Securities 2,275 — — ( 383 ) — ( 41 ) — 1,851 Guarantee and commitment obligations: Guarantee Asset 5,636 — — ( 229 ) — ( 715 ) — 4,692 Total Guarantee and commitment obligations 5,636 — — ( 229 ) — ( 715 ) — 4,692 Total Assets at fair value $ 6,477,184 $ 1,370,000 $ — $ ( 628,211 ) $ — $ ( 205,206 ) $ ( 13,979 ) $ 6,999,788 51 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 (losses)/gains included in Income Unrealized gains included in Other Comprehensive Income Ending Balance (in thousands) Recurring: Assets: Investment Securities: Available-for-sale: Floating rate auction-rate certificates backed by Government guaranteed student loans $ 19,248 $ — $ — $ — $ 6 $ — $ 246 $ 19,500 Total available-for-sale 19,248 — — — 6 — 246 19,500 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage 6,877,405 — — ( 708,882 ) ( 70 ) ( 31,462 ) 1,768 6,138,759 Total available-for-sale 6,877,405 — — ( 708,882 ) ( 70 ) ( 31,462 ) 1,768 6,138,759 USDA Securities: Trading 5,050 — — ( 294 ) — 37 — 4,793 Total USDA Securities 5,050 — — ( 294 ) — 37 — 4,793 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 Nine Months Ended September 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) Recurring: Assets: Investment Securities: Available-for-sale: Floating rate auction-rate certificates backed by Government guaranteed student loans $ 19,254 $ — $ — $ — $ 14 $ — $ ( 25 ) $ 19,243 Total available-for-sale 19,254 — — — 14 — ( 25 ) 19,243 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage 6,316,145 2,722,750 — ( 1,435,758 ) ( 345 ) ( 564,242 ) ( 72,789 ) 6,965,761 Farmer Mac Guaranteed Securities 12,414 — — ( 1,205 ) — — ( 2,968 ) 8,241 Total available-for-sale 6,328,559 2,722,750 — ( 1,436,963 ) ( 345 ) ( 564,242 ) ( 75,757 ) 6,974,002 USDA Securities: Trading 4,401 — — ( 2,475 ) — ( 75 ) — 1,851 Total USDA Securities 4,401 — — ( 2,475 ) — ( 75 ) — 1,851 Guarantee and commitment obligations: Guarantee Asset 6,237 — — ( 672 ) — ( 873 ) — 4,692 Total Guarantee and commitment obligations 6,237 — — ( 672 ) — ( 873 ) — 4,692 Total Assets at fair value $ 6,358,451 $ 2,722,750 $ — $ ( 1,440,110 ) $ ( 331 ) $ ( 565,190 ) $ ( 75,782 ) $ 6,999,788 52 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 unrealized losses included in Income Unrealized gains included in Other Comprehensive Income Ending Balance (in thousands) Recurring: Assets: Investment Securities: Available-for-sale: Floating rate auction-rate certificates backed by Government guaranteed student loans $ 19,171 $ — $ — $ — $ ( 16 ) $ — $ 345 $ 19,500 Total available-for-sale 19,171 — — — ( 16 ) — 345 19,500 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage 6,947,701 578,115 — ( 1,263,117 ) 19 ( 150,265 ) 26,306 6,138,759 Total available-for-sale 6,947,701 578,115 — ( 1,263,117 ) 19 ( 150,265 ) 26,306 6,138,759 USDA Securities: Trading 6,695 — — ( 1,864 ) — ( 38 ) — 4,793 Total USDA Securities 6,695 — — ( 1,864 ) — ( 38 ) — 4,793 Total Assets at fair value $ 6,973,567 $ 578,115 $ — $ ( 1,264,981 ) $ 3 $ ( 150,303 ) $ 26,651 $ 6,163,052 53 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 September 30, 2022 and December 31, 2021: Table 9.3 As of September 30, 2022 Financial Instruments Fair Value Valuation Technique Unobservable Input Range (Weighted-Average) (in thousands) Assets: Investment securities: Floating rate auction-rate certificates backed by Government guaranteed student loans $ 19,243 Indicative bids Range of broker quotes 97.9 % - 97.9 % ( 97.9 %) Farmer Mac Guaranteed Securities: AgVantage $ 6,965,761 Discounted cash flow Discount rate 4.6 % - 5.1 % ( 4.9 %) Farmer Mac Guaranteed Securities $ 8,241 Discounted cash flow Discount rate 4.9 % - 5.4 % ( 5.1 %) CPR 8 % USDA Securities $ 1,851 Discounted cash flow Discount rate 5.6 % - 6.4 % ( 5.8 %) CPR 19 % - 24 % ( 23 %) Guarantee Asset $ 4,692 Discounted cash flow Discount rate 5.4 % - 5.9 % ( 5.7 %) CPR 8 % As of December 31, 2021 Financial Instruments Fair Value Valuation Technique Unobservable Input Range (Weighted-Average) (in thousands) Assets: Investment securities: Floating rate auction-rate certificates backed by Government guaranteed student loans $ 19,254 Indicative bids Range of broker quotes 98.0 % - 98.0 % ( 98.0 %) Farmer Mac Guaranteed Securities: AgVantage $ 6,316,145 Discounted cash flow Discount rate 0.9 % - 2.1 % ( 1.7 %) Farmer Mac Guaranteed Securities $ 12,414 Discounted cash flow Discount rate 2.3 % - 2.8 % ( 2.6 %) CPR 8 % USDA Securities $ 4,401 Discounted cash flow Discount rate 1.4 % - 3.1 % ( 2.8 %) CPR 25 % - 42 % ( 39 %) Guarantee Asset $ 6,237 Discounted cash flow Discount rate 5.4 % - 5.8 % ( 5.6 %) CPR 7 % - 12 % ( 8 %) The significant unobservable input used in the fair value measurements of AgVantage Farmer Mac Guaranteed Securities is the discount rate commensurate with the risks involved. Typically, significant increases (decreases) in this input in isolation may result in materially lower (higher) fair value measurements. Generally, in a rising interest rate environment, Farmer Mac would expect average discount rates to increase. Conversely, in a declining interest rate environment, Farmer Mac would expect average discount rates to decrease. Prepayment rates are not presented in the table above for AgVantage 54 securities because they generally have fixed maturity dates when the secured general obligations are due and do not prepay. The significant unobservable inputs used in the fair value measurements of USDA Securities are the prepayment rate and discount rate commensurate with the risks involved. Typically, significant increases (decreases) in any of these inputs in isolation may result in materially lower (higher) fair value measurements. Generally, in a rising interest rate environment, Farmer Mac would expect average discount rates to increase and would likely expect a corresponding decrease in forecasted prepayment rates. Conversely, in a declining interest rate environment, Farmer Mac would expect average discount rates to decrease and would likely expect a corresponding increase in forecasted prepayment rates. 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 September 30, 2022 and December 31, 2021: Table 9.4 As of September 30, 2022 As of December 31, 2021 Fair Value Carrying Amount Fair Value Carrying Amount (in thousands) Financial assets: Cash and cash equivalents $ 868,234 $ 868,234 $ 908,785 $ 908,785 Investment securities 4,447,259 4,449,017 3,884,202 3,882,590 Farmer Mac Guaranteed Securities 8,239,615 8,302,041 8,360,293 8,361,798 USDA Securities 2,032,548 2,430,489 2,536,473 2,440,732 Loans 8,965,973 9,925,184 9,814,642 9,248,678 Financial derivatives 49,968 49,968 6,081 6,081 Guarantee and commitment fees receivable 49,328 46,347 42,533 45,538 Financial liabilities: Notes payable 22,578,047 23,500,657 22,716,791 22,713,771 Debt securities of consolidated trusts held by third parties 977,411 1,090,539 1,005,306 981,379 Financial derivatives 184,554 184,554 35,554 35,554 Guarantee and commitment obligations 48,705 45,726 40,920 43,926 The carrying value of cash and cash equivalents is a reasonable estimate of their approximate fair value and is classified as Level 1. The fair value of investments in U.S. Treasuries are valued based on unadjusted quoted prices in active markets and are classified as Level 1. A significant portion of Farmer Mac's investment portfolio is valued using a reputable nationally recognized third-party pricing service. The prices obtained are non-binding and generally representative of recent market trades and are classified as Level 2. Farmer Mac internally models the fair value of its loan portfolio, including loans held for investment and loans held for investment in consolidated trusts, Farmer Mac Guaranteed Securities, and USDA Securities by discounting the projected cash flows of these instruments at projected interest rates. The fair values are based on the present value of expected cash flows using management's best estimate of certain key assumptions, which include prepayment speeds, forward yield curves and discount rates commensurate with the risks involved. These fair value measurements do not take into consideration the fair value of the underlying property and are classified as Level 3. Financial derivatives primarily are valued using unadjusted counterparty valuations and are classified as Level 2. The fair value of the 55 guarantee fees receivable/obligation and debt securities of consolidated trusts are estimated based on the present value of expected future cash flows of the underlying mortgage assets using management's best estimate of certain key assumptions, which include prepayments speeds, forward yield curves, and discount rates commensurate with the risks involved and are classified as Level 3. Notes payable are valued by discounting the expected cash flows of these instruments using a yield curve derived from market prices observed for similar agency securities and are also classified as Level 3. Because the cash flows of Farmer Mac's financial instruments may be interest rate path dependent, estimated fair values and projected discount rates for Level 3 financial instruments are derived using a Monte Carlo simulation model. Different market assumptions and estimation methodologies could significantly affect estimated fair value amounts. 10. BUSINESS SEGMENT REPORTING The following table presents the alignment of the Farmer Mac's seven segments: Agricultural Finance Rural Infrastructure Finance Treasury Farm & Ranch Corporate AgFinance Rural Utilities Renewable Energy Funding Investments Corporate The financial information presented below reflects the accounts of Farmer Mac and its subsidiaries on a consolidated basis. Accordingly, the core earnings for Farmer Mac's segments would differ from any stand-alone financial statements of Farmer Mac's subsidiaries. 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 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. 56 Table 10.1 Core Earnings by Business Segment For the Three Months Ended September 30, 2022 Agricultural Finance Rural Infrastructure Treasury Corporate Farm & Ranch Corporate AgFinance Rural Utilities Renewable Energy Funding Investments Reconciling Adjustments Consolidated Net Income (in thousands) Net interest income $ 34,173 $ 7,600 $ 4,253 $ 705 $ 23,913 $ ( 2,791 ) $ — $ — $ 67,853 Less: reconciling adjustments (1)(2)(3) ( 830 ) — ( 33 ) — ( 1,349 ) — — 2,212 — Net effective spread 33,343 7,600 4,220 705 22,564 ( 2,791 ) — 2,212 — Guarantee and commitment fees 3,833 46 309 13 — — — ( 1,558 ) 2,643 Other income/(expense) (3) 469 4 — — — — — 909 1,382 Total revenues 37,645 7,650 4,529 718 22,564 ( 2,791 ) — 1,563 71,878 Release of/(provision for) losses 93 ( 333 ) ( 414 ) 26 — 11 — — ( 617 ) Release of reserve for losses 139 — 28 — — — — — 167 Operating expenses — — — — — — ( 19,379 ) — ( 19,379 ) Total non-interest expense 139 — 28 — — — ( 19,379 ) — ( 19,212 ) Core earnings before income taxes 37,877 7,317 4,143 744 22,564 ( 2,780 ) ( 19,379 ) 1,563 (4) 52,049 Income tax (expense)/benefit ( 7,953 ) ( 1,536 ) ( 869 ) ( 156 ) ( 4,739 ) 584 4,366 ( 328 ) ( 10,631 ) Core earnings before preferred stock dividends 29,924 5,781 3,274 588 17,825 ( 2,196 ) ( 15,013 ) 1,235 (4) 41,418 Preferred stock dividends — — — — — — ( 6,791 ) — ( 6,791 ) Segment core earnings/(losses) $ 29,924 $ 5,781 $ 3,274 $ 588 $ 17,825 $ ( 2,196 ) $ ( 21,804 ) $ 1,235 (4) $ 34,627 Total Assets $ 14,113,686 $ 1,558,139 $ 5,779,300 $ 186,832 $ — $ 4,608,868 $ 194,763 $ — 26,441,588 Total on- and off-balance sheet program assets at principal balance $ 17,199,347 $ 1,634,786 $ 6,296,263 $ 196,242 $ — $ — $ — $ — 25,326,638 (1) Includes the amortization of premiums and discounts on assets consolidated at fair value, originally included in interest income, to reflect core earnings amounts. (2) Includes the reclassification of interest income and interest expense from consolidated trusts owned by third parties to guarantee and commitment fees, to reflect management's view that the net interest income Farmer Mac earns is effectively a guarantee fee. (3) Includes the reclassification of interest expense related to interest rate swaps not designated as hedges, which are included in "Gains/(losses) on financial derivatives" on the consolidated financial statements, to determine the effective funding cost for each operating segment. (4) 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. 57 Core Earnings by Business Segment For the Three Months Ended September 30, 2021 Agricultural Finance Rural Infrastructure Treasury Corporate Farm & Ranch Corporate AgFinance Rural Utilities Renewable Energy Funding Investments Reconciling Adjustments Consolidated Net Income (in thousands) Net interest income $ 30,063 $ 7,162 $ 2,101 $ 237 $ 19,195 $ 158 $ — $ — $ 58,916 Less: reconciling adjustments (1)(2)(3) ( 1,148 ) — ( 34 ) — ( 1,809 ) — — 2,991 — Net effective spread 28,915 7,162 2,067 237 17,386 158 — 2,991 — Guarantee and commitment fees 3,988 9 325 — — — — ( 1,167 ) 3,155 Other income/(expense) (3) 557 — 2 — — — 128 ( 703 ) ( 16 ) Total revenues 33,460 7,171 2,394 237 17,386 158 128 1,121 62,055 Release of/(provision for) losses ( 261 ) ( 191 ) 45 35 — 6 — — ( 366 ) Provision for reserve for losses 91 — 20 — — — — — 111 Operating expenses — — — — — — ( 17,107 ) — ( 17,107 ) Total non-interest expense 91 — 20 — — — ( 17,107 ) — ( 16,996 ) Core earnings before income taxes 33,290 6,980 2,459 272 17,386 164 ( 16,979 ) 1,121 (4) 44,693 Income tax (expense)/benefit ( 6,991 ) ( 1,466 ) ( 516 ) ( 57 ) ( 3,651 ) ( 35 ) 3,564 ( 236 ) ( 9,388 ) Core earnings before preferred stock dividends 26,299 5,514 1,943 215 13,735 129 ( 13,415 ) 885 (4) 35,305 Preferred stock dividends — — — — — — ( 6,774 ) — ( 6,774 ) Loss on retirement of preferred stock — — — — — — — — — Segment core earnings/(losses) $ 26,299 $ 5,514 $ 1,943 $ 215 $ 13,735 $ 129 $ ( 20,189 ) $ 885 (4) $ 28,531 Total Assets $ 12,845,105 $ 1,347,182 $ 5,511,782 $ 88,738 $ — $ 4,919,431 $ 32,130 $ — $ 24,744,368 Total on- and off-balance sheet program assets at principal balance $ 15,565,589 $ 1,379,816 $ 6,080,691 $ 92,695 $ — $ — $ — $ — $ 23,118,791 (1) Includes the amortization of premiums and discounts on assets consolidated at fair value, originally included in interest income, to reflect core earnings amounts. (2) Includes the reclassification of interest income and interest expense from consolidated trusts owned by third parties to guarantee and commitment fees, to reflect management's view that the net interest income Farmer Mac earns is effectively a guarantee fee. (3) Includes the reclassification of interest expense related to interest rate swaps not designated as hedges, which are included in "Gains/(losses) on financial derivatives" on the consolidated financial statements, to determine the effective funding cost for each operating segment. (4) 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. 58 Core Earnings by Business Segment For the Nine Months Ended September 30, 2022 Agricultural Finance Rural Infrastructure Treasury Corporate Farm & Ranch Corporate AgFinance Rural Utilities Renewable Energy Funding Investments Reconciling Adjustments Consolidated Net Income (in thousands) Net interest income $ 99,197 $ 21,738 $ 11,218 $ 1,548 $ 67,673 $ ( 4,069 ) $ — $ — $ 197,305 Less: reconciling adjustments (1)(2)(3) ( 2,910 ) — ( 106 ) — ( 9,863 ) — — 12,879 — Net effective spread 96,287 21,738 11,112 1,548 57,810 ( 4,069 ) — 12,879 — Guarantee and commitment fees 12,387 108 929 43 — — — ( 3,916 ) 9,551 Other income/(expense) (3) 1,030 261 — — — — 3 21,987 23,281 Total revenues 109,704 22,107 12,041 1,591 57,810 ( 4,069 ) 3 30,950 230,137 Release of/(provision for) losses 440 ( 1,498 ) 1,927 ( 184 ) — 14 — — 699 Release of reserve for losses 324 — 116 — — — — — 440 Operating expenses — — — — — — ( 60,815 ) — ( 60,815 ) Total non-interest expense 324 — 116 — — — ( 60,815 ) — ( 60,375 ) Core earnings before income taxes 110,468 20,609 14,084 1,407 57,810 ( 4,055 ) ( 60,812 ) 30,950 (4) 170,461 Income tax (expense)/benefit ( 23,196 ) ( 4,327 ) ( 2,956 ) ( 295 ) ( 12,141 ) 852 12,827 ( 6,499 ) ( 35,735 ) Core earnings before preferred stock dividends 87,272 16,282 11,128 1,112 45,669 ( 3,203 ) ( 47,985 ) 24,451 (4) 134,726 Preferred stock dividends — — — — — — ( 20,374 ) — ( 20,374 ) Segment core earnings/(losses) $ 87,272 $ 16,282 $ 11,128 $ 1,112 $ 45,669 $ ( 3,203 ) $ ( 68,359 ) $ 24,451 (4) $ 114,352 Total Assets $ 14,113,686 $ 1,558,139 $ 5,779,300 $ 186,832 $ — $ 4,608,868 $ 194,763 $ — 26,441,588 Total on- and off-balance sheet program assets at principal balance $ 17,199,347 $ 1,634,786 $ 6,296,263 $ 196,242 $ — $ — $ — $ — 25,326,638 (1) Includes the amortization of premiums and discounts on assets consolidated at fair value, originally included in interest income, to reflect core earnings amounts. (2) Includes the reclassification of interest income and interest expense from consolidated trusts owned by third parties to guarantee and commitment fees, to reflect management's view that the net interest income Farmer Mac earns is effectively a guarantee fee. (3) Includes the reclassification of interest expense related to interest rate swaps not designated as hedges, which are included in "Gains/(losses) on financial derivatives" on the consolidated financial statements, to determine the effective funding cost for each operating segment. (4) 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. 59 Core Earnings by Business Segment For the Nine Months Ended September 30, 2021 Agricultural Finance Rural Infrastructure Treasury Corporate Farm & Ranch Corporate AgFinance Rural Utilities Renewable Energy Funding Investments Reconciling Adjustments Consolidated Net Income (in thousands) Net interest income $ 88,186 $ 20,760 $ 5,648 $ 863 $ 52,260 $ 398 $ — $ — $ 168,115 Less: reconciling adjustments (1)(2)(3) ( 3,647 ) — ( 102 ) — 1,969 — — 1,780 — Net effective spread 84,539 20,760 5,546 863 54,229 398 — 1,780 — Guarantee and commitment fees 11,906 18 958 14 — — — ( 3,714 ) 9,182 Other income/(expense) (3) 1,560 — 4 — — — ( 125 ) 2,957 4,396 Total revenues 98,005 20,778 6,508 877 54,229 398 ( 125 ) 1,023 181,693 Release of/(provision for) losses 322 ( 157 ) ( 490 ) ( 177 ) — ( 16 ) — — ( 518 ) Provision for reserve for losses 996 — 281 — — — — — 1,277 Operating expenses — — — — — — ( 52,866 ) — ( 52,866 ) Total non-interest expense 996 — 281 — — — ( 52,866 ) — ( 51,589 ) Core earnings before income taxes 99,323 20,621 6,299 700 54,229 382 ( 52,991 ) 1,023 (4) 129,586 Income tax (expense)/benefit ( 20,857 ) ( 4,330 ) ( 1,322 ) ( 147 ) ( 11,388 ) ( 80 ) 10,989 ( 215 ) ( 27,350 ) Core earnings before preferred stock dividends 78,466 16,291 4,977 553 42,841 302 ( 42,002 ) 808 (4) 102,236 Preferred stock dividends — — — — — — ( 17,885 ) — ( 17,885 ) Segment core earnings/(losses) $ 78,466 $ 16,291 $ 4,977 $ 553 $ 42,841 $ 302 $ ( 59,887 ) $ 808 (4) $ 84,351 Total Assets $ 12,845,105 $ 1,347,182 $ 5,511,782 $ 88,738 $ — $ 4,919,431 $ 32,130 $ — $ 24,744,368 Total on- and off-balance sheet program assets at principal balance $ 15,565,589 $ 1,379,816 $ 6,080,691 $ 92,695 $ — $ — $ — $ — $ 23,118,791 (1) Includes the amortization of premiums and discounts on assets consolidated at fair value, originally included in interest income, to reflect core earnings amounts. (2) Includes the reclassification of interest income and interest expense from consolidated trusts owned by third parties to guarantee and commitment fees, to reflect management's view that the net interest income Farmer Mac earns is effectively a guarantee fee. (3) Includes the reclassification of interest expense related to interest rate swaps not designated as hedges, which are included in "Gains/(losses) on financial derivatives" on the consolidated financial statements, to determine the effective funding cost for each operating segment. (4) 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. 11. REVISION OF PRIOR PERIOD FINANCIAL STATEMENTS 60 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) Assets 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 Liabilities 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 Equity 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 61 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 62 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 63