FEDERAL AGRICULTURAL MORTGAGE CORP 10-Q

Item 1. Financial Statements FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES CONSOLIDATED BALANCE SHEETS (unaudited) As of September 30, 2023 December 31, 2022 (in thousands) Assets: Cash and cash equivalents $ 782,318 $ 861,002 Investment securities: Available-for-sale, at fair value (amortized cost of $ 5,114,476 and $ 4,769,426 , respectively) 4,873,414 4,579,564 Held-to-maturity, at amortized cost 45,032 45,032 Other investments 5,807 3,672 Total Investment Securities 4,924,253 4,628,268 Farmer Mac Guaranteed Securities: Available-for-sale, at fair value (amortized cost of $ 5,536,437 and $ 8,019,495 , respectively) 5,058,697 7,607,226 Held-to-maturity, at amortized cost 4,157,414 1,021,154 Total Farmer Mac Guaranteed Securities 9,216,111 8,628,380 USDA Securities: Trading, at fair value 1,302 1,767 Held-to-maturity, at amortized cost 2,322,355 2,409,834 Total USDA Securities 2,323,657 2,411,601 Loans: Loans held for investment, at amortized cost 9,130,933 9,008,979 Loans held for investment in consolidated trusts, at amortized cost 1,422,854 1,211,576 Allowance for losses ( 16,614 ) ( 15,089 ) Total loans, net of allowance 10,537,173 10,205,466 Financial derivatives, at fair value 28,855 37,409 Accrued interest receivable (includes $ 10,666 and $ 12,514 , respectively, related to consolidated trusts) 230,523 229,061 Guarantee and commitment fees receivable 49,809 47,151 Deferred tax asset, net 4,711 18,004 Prepaid expenses and other assets 213,971 266,768 Total Assets $ 28,311,381 $ 27,333,110 Liabilities and Equity: Liabilities: Notes payable $ 25,123,545 $ 24,469,113 Debt securities of consolidated trusts held by third parties 1,334,014 1,181,948 Financial derivatives, at fair value 188,362 175,326 Accrued interest payable (includes $ 6,568 and $ 8,081 , respectively, related to consolidated trusts) 172,150 117,887 Guarantee and commitment obligation 47,607 46,582 Accounts payable and accrued expenses 58,776 68,863 Reserve for losses 1,660 1,433 Total Liabilities 26,926,114 26,061,152 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, 9,309,351 shares and 9,270,265 shares outstanding, respectively 9,309 9,270 Additional paid-in capital 130,921 128,939 Accumulated other comprehensive loss, net of tax ( 35,839 ) ( 50,843 ) Retained earnings 794,814 698,530 Total Equity 1,385,267 1,271,958 Total Liabilities and Equity $ 28,311,381 $ 27,333,110 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, 2023 September 30, 2022 September 30, 2023 September 30, 2022 (in thousands, except per share amounts) Interest income: Investments and cash equivalents $ 79,947 $ 21,581 $ 209,429 $ 38,497 Farmer Mac Guaranteed Securities and USDA Securities 161,351 74,695 442,649 169,231 Loans 140,513 97,514 388,837 241,393 Total interest income 381,811 193,790 1,040,915 449,121 Total interest expense 294,168 125,937 795,537 251,816 Net interest income 87,643 67,853 245,378 197,305 Release of/(provision for) losses 136 ( 617 ) ( 1,484 ) 699 Net interest income after release of/(provision for) losses 87,779 67,236 243,894 198,004 Non-interest income/(expense): Guarantee and commitment fees 5,520 2,643 12,942 9,551 Gains on financial derivatives 2,671 772 4,763 21,551 (Losses)/gains on trading securities ( 2 ) ( 41 ) 14 ( 75 ) Release of/(provision for) reserve for losses 45 167 ( 227 ) 440 Other income 1,271 651 3,239 1,805 Non-interest income 9,505 4,192 20,731 33,272 Operating expenses: Compensation and employee benefits 14,103 11,648 43,391 36,661 General and administrative 9,100 6,919 26,047 21,717 Regulatory fees 831 812 2,497 2,437 Operating expenses 24,034 19,379 71,935 60,815 Income before income taxes 73,250 52,049 192,690 170,461 Income tax expense 15,113 10,631 40,306 35,735 Net income 58,137 41,418 152,384 134,726 Preferred stock dividends ( 6,792 ) ( 6,791 ) ( 20,374 ) ( 20,374 ) Net income attributable to common stockholders $ 51,345 $ 34,627 $ 132,010 $ 114,352 Earnings per common share: Basic earnings per common share $ 4.74 $ 3.21 $ 12.20 $ 10.61 Diluted earnings per common share $ 4.69 $ 3.18 $ 12.08 $ 10.51 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, 2023 September 30, 2022 September 30, 2023 September 30, 2022 (in thousands Net income $ 58,137 $ 41,418 $ 152,384 $ 134,726 Other comprehensive income/(loss): Net unrealized gains/(losses) on available-for-sale securities 22,076 ( 41,827 ) 46,068 ( 158,273 ) Net changes in held-to-maturity securities ( 31,525 ) ( 622 ) ( 32,628 ) 220 Net unrealized gains on cash flow hedges 7,566 24,596 5,553 72,684 Other comprehensive (loss)/income before tax ( 1,883 ) ( 17,853 ) 18,993 ( 85,369 ) Income tax benefit/(expense) related to other comprehensive (loss)/income 395 3,748 ( 3,989 ) 17,927 Other comprehensive (loss)/income net of tax ( 1,488 ) ( 14,105 ) 15,004 ( 67,442 ) Comprehensive income $ 56,649 $ 27,313 $ 167,388 $ 67,284 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, 2022 19,980 $ 484,531 10,801 $ 10,801 $ 128,939 $ ( 50,843 ) $ 698,530 $ 1,271,958 Net Income — — — — — — 47,035 47,035 Other comprehensive loss, net of tax — — — — — ( 9,019 ) — ( 9,019 ) Cash dividends: Preferred stock — — — — — — ( 6,791 ) ( 6,791 ) Common stock (cash dividend of $ 1.10 per share) — — — — — — ( 11,882 ) ( 11,882 ) Issuance of Class C Common Stock — — 19 19 51 — — 70 Stock-based compensation cost — — — — 2,254 — — 2,254 Other stock-based award activity — — — — ( 1,240 ) — — ( 1,240 ) Balance as of March 31, 2023 19,980 $ 484,531 10,820 $ 10,820 $ 130,004 $ ( 59,862 ) $ 726,892 $ 1,292,385 Net Income — — — — — — 47,212 47,212 Other comprehensive income, net of tax — — — — — 25,511 — 25,511 Cash dividends: Preferred stock — — — — — — ( 6,791 ) ( 6,791 ) Common stock (cash dividend of $ 1.10 per share) — — — — — — ( 11,921 ) ( 11,921 ) Issuance of Class C Common Stock — — 16 16 54 — — 70 Stock-based compensation cost — — — — 1,223 — — 1,223 Other stock-based award activity — — — — ( 1,134 ) — — ( 1,134 ) Balance as of June 30, 2023 19,980 $ 484,531 10,836 $ 10,836 $ 130,147 $ ( 34,351 ) $ 755,392 $ 1,346,555 Net Income — — — — — — 58,137 58,137 Other comprehensive loss, net of tax — — — — — ( 1,488 ) — ( 1,488 ) Cash dividends: Preferred stock — — — — — — ( 6,792 ) ( 6,792 ) Common stock (cash dividend of $ 1.10 per share) — — — — — — ( 11,923 ) ( 11,923 ) Issuance of Class C Common Stock — — 4 4 64 — — 68 Stock-based compensation cost — — — — 1,221 — — 1,221 Other stock-based award activity — — — — ( 511 ) — — ( 511 ) Balance as of September 30, 2023 19,980 $ 484,531 10,840 $ 10,840 $ 130,921 $ ( 35,839 ) $ 794,814 $ 1,385,267 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, 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 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, 2023 September 30, 2022 (in thousands) Cash flows from operating activities: Net income $ 152,384 $ 134,726 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 ( 11,456 ) 2,456 Amortization of debt premiums, discounts, and issuance costs 22,851 11,839 Net change in fair value of trading securities, hedged assets, and financial derivatives 340,035 665,775 Total provision for/(release of) allowance for losses 1,711 ( 1,139 ) Excess tax benefits related to stock-based awards 470 87 Deferred income taxes 9,304 14,820 Stock-based compensation expense 4,699 3,807 Proceeds from repayment of loans purchased as held for sale 19,364 31,086 Net change in: Interest receivable ( 7,116 ) ( 1,931 ) Guarantee and commitment fees receivable ( 1,633 ) 991 Other assets ( 7,903 ) ( 144,031 ) Accrued interest payable 54,263 31,818 Custodial deposit liability ( 31,489 ) ( 41,392 ) Other liabilities ( 2,836 ) ( 2,654 ) Net cash provided by operating activities 542,648 706,258 Cash flows from investing activities: Purchases of available-for-sale investment securities ( 1,381,795 ) ( 1,789,932 ) Purchases of other investment securities ( 2,135 ) ( 877 ) Purchases of Farmer Mac Guaranteed Securities and USDA Securities ( 3,182,678 ) ( 4,308,083 ) Purchases of loans held for investment ( 1,520,116 ) ( 2,122,360 ) Proceeds from repayment of available-for-sale investment securities 1,146,861 1,103,046 Proceeds from repayment of Farmer Mac Guaranteed Securities and USDA Securities 2,578,193 3,933,894 Proceeds from repayment of loans purchased as held for investment 1,081,265 1,077,209 Proceeds from sale of loans previously classified as held for investment — 9,000 Proceeds from sale of Farmer Mac Guaranteed Securities — 47,212 Net cash used in investing activities ( 1,280,405 ) ( 2,050,891 ) Cash flows from financing activities: Proceeds from issuance of discount notes 36,018,319 40,788,399 Proceeds from issuance of medium-term notes 5,559,198 6,866,487 Proceeds from third parties from issuance of debt securities of consolidated trusts 222,188 258,198 Payments to redeem discount notes ( 35,059,286 ) ( 42,096,456 ) Payments to redeem medium-term notes ( 5,931,450 ) ( 4,261,315 ) Payments to third parties on debt securities of consolidated trusts ( 91,118 ) ( 198,463 ) Proceeds from common stock issuance 169 140 Tax payments related to share-based awards ( 2,847 ) ( 1,789 ) Dividends paid on common and preferred stock ( 56,100 ) ( 51,119 ) Net cash provided by financing activities 659,073 1,304,082 Net change in cash and cash equivalents ( 78,684 ) ( 40,551 ) Cash and cash equivalents at beginning of period 861,002 908,785 Cash and cash equivalents at end of period $ 782,318 $ 868,234 Non-cash activity: Loans securitized as Farmer Mac Guaranteed Securities 10,573 47,212 Loans held for investment transferred to consolidated trusts 281,027 297,713 Reclassification of defaulted loans from loans held for investment in consolidated trusts to loans held for investment 3,078 1,781 Capitalized interest — 446 Matured securities receivable ( 77,445 ) — Charge-off from the allowance for losses — 84 Borrowers' payments not yet received from servicers ( 3,335 ) — Purchases of securities - traded, not yet settled 16,012 268,370 Transfers of available-for-sale Farmer Mac Guaranteed Securities to held-to-maturity 2,684,096 — 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, 2022 consolidated balance sheet presented in this report has been derived from Farmer Mac's audited 2022 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 2022 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, 2022, as filed with the SEC on February 24, 2023. 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, 2023. 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, 2023 Agricultural Finance Treasury Total (in thousands) On-Balance Sheet: Consolidated VIEs: Loans held for investment in consolidated trusts, at amortized cost $ 1,422,854 $ — $ 1,422,854 Debt securities of consolidated trusts held by third parties (1)(2) 1,334,014 — 1,334,014 Unconsolidated VIEs: Farmer Mac Guaranteed Securities: Carrying value 39,131 — 39,131 Maximum exposure to loss (3) 38,689 — 38,689 Investment securities: Carrying value (4) — 3,532,286 3,532,286 Maximum exposure to loss (3) (4) — 3,809,871 3,809,871 Off-Balance Sheet: Unconsolidated VIEs: Farmer Mac Guaranteed Securities: Maximum exposure to loss (3) (5) 455,681 — 455,681 (1) Includes borrower remittances of $ 0.4 million. The borrower remittances had not been passed through to third-party investors as of September 30, 2023. (2) Includes $ 89.2 million in unamortized discount related to structured securitization transactions. (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, 2022 Agricultural Finance Treasury Total (in thousands) On-Balance Sheet: Consolidated VIEs: Loans held for investment in consolidated trusts, at amortized cost $ 1,211,576 $ — $ 1,211,576 Debt securities of consolidated trusts held by third parties (1)(2) 1,181,948 — 1,181,948 Unconsolidated VIEs: Farmer Mac Guaranteed Securities: Carrying value 28,466 — 28,466 Maximum exposure to loss (3) 31,208 — 31,208 Investment securities: Carrying value (4) — 3,138,619 3,138,619 Maximum exposure to loss (3) (4) — 3,341,427 3,341,427 Off-Balance Sheet: Unconsolidated VIEs: Farmer Mac Guaranteed Securities: Maximum exposure to loss (3) (5) 500,953 — 500,953 (1) Includes borrower remittances of $ 8.1 million. The borrower remittances had not been passed through to third-party investors as of December 31, 2022. (2) Includes $ 37.7 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. 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, 2023 and 2022: Table 1.2 For the Three Months Ended September 30, 2023 September 30, 2022 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 $ 51,345 10,839 $ 4.74 $ 34,627 10,799 $ 3.21 Effect of dilutive securities (1) SARs and restricted stock — 99 ( 0.05 ) — 75 ( 0.03 ) Diluted EPS $ 51,345 10,938 $ 4.69 $ 34,627 10,874 $ 3.18 (1) For the three months ended September 30, 2023 and 2022, SARs and restricted stock of 16,761 and 18,432 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, 2023 and 2022, contingent shares of unvested restricted stock of 32,469 and 18,535 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, 2023 September 30, 2022 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 $ 132,010 10,825 $ 12.20 $ 114,352 10,787 $ 10.61 Effect of dilutive securities (1) SARs and restricted stock — 99 ( 0.12 ) — 88 ( 0.10 ) Diluted EPS $ 132,010 10,924 $ 12.08 $ 114,352 10,875 $ 10.51 (1) For the nine months ended September 30, 2023 and 2022, SARs and restricted stock of 37,990 and 37,120 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, 2023 and 2022, contingent shares of unvested restricted stock of 32,407 and 18,535 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, 2023 and 2022. Table 1.3 As of September 30, 2023 As of September 30, 2022 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 $ ( 96,607 ) $ 15,486 $ 46,770 $ ( 34,351 ) $ ( 98,924 ) $ 16,818 $ 32,622 $ ( 49,484 ) Other comprehensive income/(loss) before reclassifications 17,443 ( 25,199 ) 10,376 2,620 ( 33,041 ) — 20,277 ( 12,764 ) Amounts reclassified from AOCI ( 4 ) 294 ( 4,398 ) ( 4,108 ) ( 2 ) ( 492 ) ( 847 ) ( 1,341 ) Net comprehensive income/(loss) 17,439 ( 24,905 ) 5,978 ( 1,488 ) ( 33,043 ) ( 492 ) 19,430 ( 14,105 ) Ending Balance $ ( 79,168 ) $ ( 9,419 ) $ 52,748 $ ( 35,839 ) $ ( 131,967 ) $ 16,326 $ 52,052 $ ( 63,589 ) For the Nine Months Ended: Beginning Balance $ ( 115,561 ) $ 16,357 $ 48,361 $ ( 50,843 ) $ ( 6,932 ) $ 16,153 $ ( 5,368 ) $ 3,853 Other comprehensive income/(loss) before reclassifications 36,406 ( 25,199 ) 16,277 27,484 ( 125,027 ) — 55,766 ( 69,261 ) Amounts reclassified from AOCI ( 13 ) ( 577 ) ( 11,890 ) ( 12,480 ) ( 8 ) 173 1,654 1,819 Net comprehensive income/(loss) 36,393 ( 25,776 ) 4,387 15,004 ( 125,035 ) 173 57,420 ( 67,442 ) Ending Balance $ ( 79,168 ) $ ( 9,419 ) $ 52,748 $ ( 35,839 ) $ ( 131,967 ) $ 16,326 $ 52,052 $ ( 63,589 ) 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, 2023 and 2022: Table 1.4 For the Three Months Ended September 30, 2023 September 30, 2022 Before Tax Provision (Benefit) After Tax Before Tax Provision (Benefit) After Tax (in thousands) Other comprehensive income: Available-for-sale-securities: Unrealized holding gains/(losses) on available-for-sale securities $ 22,081 $ 4,638 $ 17,443 $ ( 41,824 ) $ ( 8,783 ) $ ( 33,041 ) Less reclassification adjustments included in: Net interest income (1) — — — — — — Other income (2) ( 5 ) ( 1 ) ( 4 ) ( 3 ) ( 1 ) ( 2 ) Total $ 22,076 $ 4,637 $ 17,439 $ ( 41,827 ) $ ( 8,784 ) $ ( 33,043 ) Held-to-maturity securities: Change in fair value (3) $ ( 31,898 ) $ ( 6,699 ) $ ( 25,199 ) $ — $ — $ — Less reclassification adjustments included in: Net interest income (4) 373 79 294 ( 622 ) ( 130 ) ( 492 ) Total $ ( 31,525 ) $ ( 6,620 ) $ ( 24,905 ) $ ( 622 ) $ ( 130 ) $ ( 492 ) Cash flow hedges Unrealized gains on cash flow hedges $ 13,135 $ 2,759 $ 10,376 $ 25,668 $ 5,391 $ 20,277 Less reclassification adjustments included in: Net interest income (5) ( 5,569 ) ( 1,171 ) ( 4,398 ) ( 1,072 ) ( 225 ) ( 847 ) Total $ 7,566 $ 1,588 $ 5,978 $ 24,596 $ 5,166 $ 19,430 Other comprehensive loss $ ( 1,883 ) $ ( 395 ) $ ( 1,488 ) $ ( 17,853 ) $ ( 3,748 ) $ ( 14,105 ) (1) Relates to the amortization of unrealized gains on hedged items prior to the application of fair value hedge accounting. (2) Represents amortization of deferred gains related to certain available-for-sale USDA Securities and Farmer Mac Guaranteed USDA Securities. (3) Represents the accumulated unrealized loss on the AgVantage Securities transferred from available-for-sale to held-to-maturity. (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, 2023 September 30, 2022 Before Tax Provision (Benefit) After Tax Before Tax Provision (Benefit) After Tax (in thousands) Other comprehensive income: Available-for-sale-securities: Unrealized holding gains/(losses) on available-for-sale securities $ 46,084 $ 9,678 $ 36,406 $ ( 158,263 ) $ ( 33,236 ) $ ( 125,027 ) Less reclassification adjustments included in: Net interest income (1) — — — — — — Other income (2) ( 16 ) ( 3 ) ( 13 ) ( 10 ) ( 2 ) ( 8 ) Total $ 46,068 $ 9,675 $ 36,393 $ ( 158,273 ) $ ( 33,238 ) $ ( 125,035 ) Held-to-maturity securities: Change in fair value (3) $ ( 31,898 ) $ ( 6,699 ) $ ( 25,199 ) $ — $ — $ — Less reclassification adjustments included in: Net interest income (4) ( 730 ) ( 153 ) ( 577 ) 220 47 173 Total $ ( 32,628 ) $ ( 6,852 ) $ ( 25,776 ) $ 220 $ 47 $ 173 Cash flow hedges Unrealized gains on cash flow hedges $ 20,604 $ 4,327 $ 16,277 $ 70,590 $ 14,824 $ 55,766 Less reclassification adjustments included in: Net interest income (5) ( 15,051 ) ( 3,161 ) ( 11,890 ) 2,094 440 1,654 Total $ 5,553 $ 1,166 $ 4,387 $ 72,684 $ 15,264 $ 57,420 Other comprehensive income/(loss) $ 18,993 $ 3,989 $ 15,004 $ ( 85,369 ) $ ( 17,927 ) $ ( 67,442 ) (1) Relates to the amortization of unrealized gains on hedged items prior to the application of fair value hedge accounting. (2) Represents amortization of deferred gains related to certain available-for-sale USDA Securities and Farmer Mac Guaranteed USDA Securities. (3) Represents the accumulated unrealized loss on the AgVantage Securities transferred from available-for-sale to held-to-maturity. (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 During the second quarter 2023, Farmer Mac adopted optional expedients including those relating to qualifying hedging relationships and contract modification relief, and as of June 30, 2023, has no further variable-rate exposure to LIBOR. To date, these elections did not have a material effect on Farmer Mac's financial position, results of operations, or cash flows. Farmer Mac does not expect to elect further expedients through the ending date of December 31, 2024. ASU 2022-06 , Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848 The amendments in this Update deferred the sunset date in Topic 848 from December 31, 2022 to December 31, 2024. December 21, 2022 Farmer Mac does not expect to elect further expedients through the ending date of December 31, 2024. 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 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 write offs for financing receivables and net investment in leases by year of origination in the vintage disclosures. January 1, 2023 The adoption of this Update did not have a material effect on Farmer Mac's financial position, results of operations, or cash flows. ASU 2022-01 , Fair Value Hedging - Portfolio Layer Method The Update introduces the portfolio layer method, which expands the current single-layer method to allow multiple hedged layers of a single closed portfolio under the method (previously named, last-of-layer method). Additionally, it expands the scope of the portfolio layer method to include non-prepayable assets, specifies eligible hedging instruments in a single-layer hedge, provides additional guidance on the accounting for and disclosure of hedge basis adjustments under the portfolio layer method, specifies how hedge basis adjustments should be considered when determining credit losses for the assets included in the closed portfolio, and provides that an entity may reclassify HTM debt securities identified within 30 days of the date of adoption to AFS if the entity applies portfolio layer method hedging to those debt securities. January 1, 2023 Farmer Mac adopted this guidance as of January 1, 2023. Farmer Mac does not currently hedge interest rate risk for single closed portfolios of financial assets, so adoption of this guidance had no effect on Farmer Mac's financial condition, results of operations, cash flows, or disclosures given current strategies. 16 (d) Reclassifications Certain reclassifications of prior period information were made to conform to the current period presentation. The reclassifications of prior period information were not material to the consolidated financial statements. 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, 2023 and December 31, 2022: Table 2.1 As of September 30, 2023 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 $ ( 27 ) $ — $ ( 640 ) $ 19,033 Floating rate Government/GSE guaranteed mortgage-backed securities 2,499,578 ( 1,170 ) 2,498,408 — 2,054 ( 34,917 ) 2,465,545 Fixed rate GSE guaranteed mortgage-backed securities 1,629,166 ( 45,118 ) 1,584,048 — — ( 197,670 ) 1,386,378 Floating rate U.S. Treasuries 50,000 ( 23 ) 49,977 — 34 — 50,011 Fixed rate U.S. Treasuries 978,585 ( 16,242 ) 962,343 — — ( 9,896 ) 952,447 Total available-for-sale 5,177,029 ( 62,553 ) 5,114,476 ( 27 ) 2,088 ( 243,123 ) 4,873,414 Held-to-maturity: Floating rate Government/GSE guaranteed mortgage-backed securities (3) 45,032 — 45,032 — 930 — 45,962 Total held-to-maturity $ 45,032 $ — $ 45,032 $ — $ 930 $ — $ 45,962 (1) Amounts presented exclude $ 17.4 million of accrued interest receivable on investment securities as of September 30, 2023. (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 6.5 % as of September 30, 2023. 17 As of December 31, 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 $ ( 33 ) $ — $ ( 640 ) $ 19,027 Floating rate Government/GSE guaranteed mortgage-backed securities 2,433,696 ( 200 ) 2,433,496 — 1,954 ( 42,910 ) 2,392,540 Fixed rate GSE guaranteed mortgage-backed securities 1,207,416 ( 30,321 ) 1,177,095 — 2,128 ( 130,837 ) 1,048,386 Fixed rate U.S. Treasuries 1,145,915 ( 6,780 ) 1,139,135 — 621 ( 20,145 ) 1,119,611 Total available-for-sale 4,806,727 ( 37,301 ) 4,769,426 ( 33 ) 4,703 ( 194,532 ) 4,579,564 Held-to-maturity: Floating rate Government/GSE guaranteed mortgage-backed securities (3) 45,032 — 45,032 — 2,433 — 47,465 Total held-to-maturity $ 45,032 $ — $ 45,032 $ — $ 2,433 $ — $ 47,465 (1) Amounts presented exclude $ 10.6 million of accrued interest receivable on investment securities as of December 31, 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 4.5 % as of December 31, 2022. Farmer Mac did no t sell any securities from its available-for-sale investment portfolio during the three and nine months ended September 30, 2023 and 2022. As of September 30, 2023 and December 31, 2022, unrealized losses on available-for-sale investment securities were as follows: Table 2.2 As of September 30, 2023 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 $ — $ — $ 19,033 $ ( 640 ) Floating rate Government/GSE guaranteed mortgage-backed securities 583,799 ( 4,076 ) 1,431,925 ( 30,841 ) Fixed rate Government/GSE guaranteed mortgage-backed securities 535,288 ( 29,649 ) 851,082 ( 168,021 ) Fixed rate U.S. Treasuries 655,068 ( 4,552 ) 297,378 ( 5,344 ) Total $ 1,774,155 $ ( 38,277 ) $ 2,599,418 $ ( 204,846 ) Number of securities in loss position 85 170 18 As of December 31, 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 $ — $ — $ 19,027 $ ( 640 ) Floating rate Government/GSE guaranteed mortgage-backed securities 1,884,146 ( 36,976 ) 193,964 ( 5,934 ) Fixed rate Government/GSE guaranteed mortgage-backed securities 621,215 ( 56,434 ) 336,782 ( 74,403 ) Fixed rate U.S. Treasuries 314,524 ( 2,842 ) 704,780 ( 17,303 ) Total $ 2,819,885 $ ( 96,252 ) $ 1,254,553 $ ( 98,280 ) Number of securities in loss position 174 51 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, 2023 and December 31, 2022, 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, 2023 and December 31, 2022, all of the investment securities in an unrealized loss position either were backed by the full faith and credit of the U.S. government, a U.S. government sponsored enterprise, 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, 2023 that is, on average, approximately 92.7 % of their amortized cost basis. Farmer Mac believes that all of these unrealized losses are recoverable within a reasonable period of time by way of maturity, changes in credit spread, and changes in levels of interest rates. The amortized cost, fair value, and weighted-average yield of available-for-sale investment securities by remaining contractual maturity as of September 30, 2023 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, 2023 Available-for-Sale Securities Amortized Cost Fair Value Weighted- Average Yield (dollars in thousands) Due within one year $ 589,475 $ 584,714 1.35 % Due after one year through five years 1,171,601 1,135,888 4.06 % Due after five years through ten years 2,534,914 2,358,496 4.39 % Due after ten years 818,486 794,316 5.61 % Total $ 5,114,476 $ 4,873,414 4.16 % 19 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, 2023 and December 31, 2022: Table 3.1 As of September 30, 2023 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 $ 4,158,857 $ ( 30,389 ) $ 4,128,468 $ ( 196 ) $ 4,525 $ ( 49,221 ) $ 4,083,576 Farmer Mac Guaranteed USDA Securities 29,109 33 29,142 — — ( 1,362 ) 27,780 Total Farmer Mac Guaranteed Securities 4,187,966 ( 30,356 ) 4,157,610 ( 196 ) 4,525 ( 50,583 ) 4,111,356 USDA Securities 2,299,407 22,948 2,322,355 — 194 ( 390,322 ) 1,932,227 Total held-to-maturity $ 6,487,373 $ ( 7,408 ) $ 6,479,965 $ ( 196 ) $ 4,719 $ ( 440,905 ) $ 6,043,583 Available-for-sale: AgVantage $ 5,526,857 $ — $ 5,526,857 $ ( 374 ) $ — $ ( 477,775 ) $ 5,048,708 Farmer Mac Guaranteed Securities (3) — 9,580 9,580 — 409 — 9,989 Total available-for-sale $ 5,526,857 $ 9,580 $ 5,536,437 $ ( 374 ) $ 409 $ ( 477,775 ) $ 5,058,697 Trading: USDA Securities (4) $ 1,314 $ 57 $ 1,371 $ — $ — $ ( 69 ) $ 1,302 (1) Amounts presented exclude $ 53.3 million, $ 58.9 million, and $ 38,000 of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of September 30, 2023. (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 $ 10.0 million of an interest-only security with a notional amount of $ 239.1 million. (4) The trading USDA securities had a weighted average yield of 5.50 % as of September 30, 2023. As of December 31, 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 $ 1,000,689 $ ( 95 ) $ 1,000,594 $ ( 59 ) $ 353 $ ( 54,098 ) $ 946,790 Farmer Mac Guaranteed USDA Securities 20,586 33 20,619 — 2 ( 856 ) 19,765 Total Farmer Mac Guaranteed Securities 1,021,275 ( 62 ) 1,021,213 ( 59 ) 355 ( 54,954 ) 966,555 USDA Securities 2,384,946 24,888 2,409,834 — 668 ( 312,824 ) 2,097,678 Total held-to-maturity $ 3,406,221 $ 24,826 $ 3,431,047 $ ( 59 ) $ 1,023 $ ( 367,778 ) $ 3,064,233 Available-for-sale: AgVantage $ 8,008,067 $ 806 $ 8,008,873 $ ( 546 ) $ 2,061 $ ( 411,009 ) $ 7,599,379 Farmer Mac Guaranteed Securities (3) — 10,622 10,622 — — ( 2,775 ) $ 7,847 Total available-for-sale $ 8,008,067 $ 11,428 $ 8,019,495 $ ( 546 ) $ 2,061 $ ( 413,784 ) $ 7,607,226 Trading: USDA Securities (4) $ 1,770 $ 80 $ 1,850 $ — $ — $ ( 83 ) $ 1,767 (1) Amounts presented exclude $ 51.5 million, $ 44.4 million, and $ 47,000 of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of December 31, 2022. 20 (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 $ 7.8 million of an interest-only security with a notional amount of $ 250.1 million. (4) The trading USDA securities had a weighted average yield of 4.84 % as of December 31, 2022. On July 1, 2023, Farmer Mac transferred $ 2.7 billion of AgVantage Securities from available-for-sale to held-to-maturity to reflect Farmer Mac's positive intent and ability to hold these securities until maturity or payoff. Farmer Mac transferred these securities at fair value as of the date of the transfer, which included a cost basis adjustment of unrealized losses of $ 31.9 million. The accumulated unrealized losses were retained in accumulated other comprehensive income in the amount of $ 31.9 million. Farmer Mac accounts for held-to-maturity securities at amortized cost. Both the cost basis adjustment and accumulated unrealized depreciation will be amortized as an adjustment to the yield on the held-to-maturity AgVantage Securities over the remaining term of the transferred securities. As of September 30, 2023 and December 31, 2022, 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, 2023 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 $ 2,022,393 $ ( 2,613 ) $ 812,575 $ ( 46,608 ) Farmer Mac Guaranteed USDA Securities 19,559 ( 322 ) 8,251 ( 1,040 ) USDA Securities 1,495 ( 22 ) 1,921,243 ( 390,300 ) Total held-to-maturity $ 2,043,447 $ ( 2,957 ) $ 2,742,069 $ ( 437,948 ) Available-for-sale: AgVantage $ 993,705 $ ( 30,193 ) $ 4,055,377 $ ( 447,582 ) Farmer Mac Guaranteed Securities — — — — Total available-for-sale $ 993,705 $ ( 30,193 ) $ 4,055,377 $ ( 447,582 ) 21 As of December 31, 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 $ 548,634 $ ( 11,455 ) $ 382,358 $ ( 42,643 ) Farmer Mac Guaranteed USDA Securities 19,790 ( 856 ) — — USDA Securities 2,086,108 ( 312,824 ) — — Total held-to-maturity $ 2,654,532 $ ( 325,135 ) $ 382,358 $ ( 42,643 ) Available-for-sale: AgVantage $ 4,642,096 $ ( 267,886 ) $ 1,548,551 $ ( 143,123 ) Farmer Mac Guaranteed Securities 7,847 ( 2,775 ) — — Total available-for-sale $ 4,649,943 $ ( 270,661 ) $ 1,548,551 $ ( 143,123 ) The unrealized losses presented above are principally due to changes in interest rates from the date of acquisition to September 30, 2023 and December 31, 2022, as applicable. 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 76 and 95 available-for-sale securities as of September 30, 2023 and December 31, 2022, respectively. There were 59 and 37 held-to-maturity AgVantage securities with an unrealized loss as of September 30, 2023 and December 31, 2022, respectively. As of September 30, 2023 and December 31, 2022, 64 and 13 available-for-sale AgVantage securities, respectively, had been in a loss position for more than 12 months. As of September 30, 2023 and December 31, 2022, there were 26 and 4 held-to-maturity AgVantage securities, respectively, in a loss position for more than 12 months. During the three and nine months ended September 30, 2023 and 2022 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. 22 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, 2023 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, 2023 Available-for-Sale Securities Amortized Cost (1) Fair Value Weighted- Average Yield (dollars in thousands) Due within one year $ 693,100 $ 682,379 3.25 % Due after one year through five years 2,739,174 2,579,604 3.47 % Due after five years through ten years 1,142,500 997,848 3.27 % Due after ten years 961,663 798,866 3.55 % Total $ 5,536,437 $ 5,058,697 3.41 % (1) Amounts presented exclude $ 53.3 million of accrued interest receivable. As of September 30, 2023 Held-to-Maturity Securities Amortized Cost (1) Fair Value Weighted- Average Yield (dollars in thousands) Due within one year $ 2,071,858 $ 2,066,836 5.61 % Due after one year through five years 1,321,681 1,269,796 4.22 % Due after five years through ten years 453,755 409,148 4.30 % Due after ten years 2,632,671 2,297,803 4.19 % Total $ 6,479,965 $ 6,043,583 4.68 % (1) Amounts presented exclude $ 58.9 million of accrued interest receivable. 4. FINANCIAL DERIVATIVES Farmer Mac enters into financial derivative transactions to protect against risk from the effects of market price, or interest rate movements, on the value of certain assets, future cash flows, or debt issuance, and not for trading or speculative purposes. Certain financial derivatives are designated as fair value hedges of fixed rate assets, classified as available-for-sale, to protect against fair value changes in the assets related to changes in a benchmark interest rate (e.g., SOFR). Certain other financial derivatives are designated as cash flow hedges to mitigate the volatility of future interest rate payments on floating rate debt. Certain financial derivatives are not designated in hedge accounting relationships. Farmer Mac manages the interest rate risk related to loans it has committed to acquire, but has not yet permanently funded, primarily through the use of futures contracts involving U.S. Treasury securities. Farmer Mac aims to achieve a duration-matched hedge ratio between the hedged item and the hedge instrument. Gains or losses generated by these hedge transactions are expected to offset changes in funding costs. All financial derivatives are recorded on the balance sheet at fair value as a freestanding asset or liability. 23 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 $ 14.3 million and $ 6.1 million of accrued interest receivable and $ 6.3 million and $ 3.6 million of accrued interest payable on uncleared swaps as of September 30, 2023 and December 31, 2022, respectively. The aforementioned accrued interest on uncleared swaps is included within Accrued Interest Receivable and Accrued Interest Payable on the consolidated balance sheets. Table 4.1 As of September 30, 2023 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 $ 8,942,935 $ 2,996 $ ( 11 ) 5.46 % 2.74 % 1.67 Pay fixed non-callable 8,830,943 81 ( 11,054 ) 2.39 % 5.33 % 9.89 Receive fixed callable 4,181,077 — ( 179,299 ) 5.26 % 3.06 % 2.37 Cash flow hedges: Interest rate swaps: Pay fixed non-callable 563,000 27,510 ( 372 ) 1.94 % 5.74 % 4.51 No hedge designation: Interest rate swaps: Pay fixed non-callable 183,882 1,240 ( 166 ) 2.92 % 5.44 % 4.01 Receive fixed non-callable 851,146 69 ( 3 ) 5.34 % 4.51 % 0.70 Basis swaps 895,384 58 ( 625 ) 5.43 % 5.45 % 3.89 Treasury futures 11,900 81 ( 12 ) 108.64 Netting adjustments (1) ( 3,180 ) 3,180 Total financial derivatives $ 24,460,267 $ 28,855 $ ( 188,362 ) (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. 24 As of December 31, 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 $ 10,033,750 $ 19 $ ( 4,686 ) 4.31 % 2.03 % 1.64 Pay fixed non-callable 8,149,871 13,689 ( 366 ) 2.23 % 4.33 % 10.76 Receive fixed callable 2,764,577 461 ( 174,757 ) 4.21 % 1.98 % 3.18 Cash flow hedges: Interest rate swaps: Pay fixed non-callable 588,000 27,275 — 1.93 % 4.72 % 5.05 No hedge designation: Interest rate swaps: Pay fixed non-callable 187,479 1,065 ( 1 ) 3.05 % 4.09 % 4.52 Receive fixed non-callable 287,750 — ( 130 ) 4.31 % 1.16 % 1.76 Basis swaps 1,860,384 112 ( 456 ) 4.40 % 4.42 % 2.46 Treasury futures 6,800 — ( 142 ) 114.38 Netting adjustments (1) ( 5,212 ) 5,212 Total financial derivatives $ 23,878,611 $ 37,409 $ ( 175,326 ) (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, 2023, Farmer Mac expects to reclassify $ 16.6 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, 2023. During the three and nine months ended September 30, 2023 and 2022, 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. 25 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, 2023 and 2022: Table 4.2 For the Three Months Ended September 30, 2023 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 $ 79,947 $ 161,351 $ 140,513 $ ( 294,168 ) $ 2,671 $ 90,314 Income/(expense) related to interest settlements on fair value hedging relationships: Recognized on derivatives 9,950 40,114 17,692 ( 92,663 ) — ( 24,907 ) Recognized on hedged items 9,006 46,303 16,089 ( 91,525 ) — ( 20,127 ) Premium/discount amortization recognized on hedged items 623 — — ( 732 ) — ( 109 ) Income/(expense) related to interest settlements on fair value hedging relationships $ 19,579 $ 86,417 $ 33,781 $ ( 184,920 ) $ — $ ( 45,143 ) Gains/(losses) on fair value hedging relationships: Recognized on derivatives $ 42,051 $ 110,196 $ 107,265 $ 9,475 $ — $ 268,987 Recognized on hedged items ( 41,944 ) ( 107,965 ) ( 105,403 ) ( 10,465 ) — ( 265,777 ) Gains/(losses) on fair value hedging relationships $ 107 $ 2,231 $ 1,862 $ ( 990 ) $ — $ 3,210 Expense related to interest settlements on cash flow hedging relationships: Interest settlements reclassified from AOCI into net income on derivatives $ — $ — $ — $ 5,569 $ — $ 5,569 Recognized on hedged items — — — ( 8,287 ) — ( 8,287 ) Discount amortization recognized on hedged items — — — ( 14 ) — ( 14 ) Expense recognized on cash flow hedges $ — $ — $ — $ ( 2,732 ) $ — $ ( 2,732 ) Gains on financial derivatives not designated in hedging relationships: Gains on interest rate swaps $ — $ — $ — $ — $ 2,772 $ 2,772 Interest expense on interest rate swaps — — — — ( 805 ) ( 805 ) Treasury futures — — — — 704 704 Gains on financial derivatives not designated in hedge relationships $ — $ — $ — $ — $ 2,671 $ 2,671 26 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 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 ) (Losses)/gains 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 ) (Losses)/gains 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 hedge 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 27 For the Nine Months Ended September 30, 2023 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 $ 209,429 $ 442,649 $ 388,837 $ ( 795,537 ) $ 4,763 $ 250,141 Income/(expense) related to interest settlements on fair value hedging relationships: Recognized on derivatives 24,952 104,023 46,625 ( 258,358 ) — ( 82,758 ) Recognized on hedged items 23,865 133,995 47,144 ( 243,053 ) — ( 38,049 ) Premium/discount amortization recognized on hedged items 1,399 — — ( 2,137 ) — ( 738 ) Income/(expense) related to interest settlements on fair value hedging relationships $ 50,216 $ 238,018 $ 93,769 $ ( 503,548 ) $ — $ ( 121,545 ) (Losses)/gains on fair value hedging relationships: Recognized on derivatives $ 45,722 $ 117,267 $ 97,346 $ 50,916 $ — $ 311,251 Recognized on hedged items ( 46,485 ) ( 116,591 ) ( 97,827 ) ( 52,144 ) — ( 313,047 ) (Losses)/gains on fair value hedging relationships $ ( 763 ) $ 676 $ ( 481 ) $ ( 1,228 ) $ — $ ( 1,796 ) Expense related to interest settlements on cash flow hedging relationships: Interest settlements reclassified from AOCI into net income on derivatives $ — $ — $ — $ 15,051 $ — $ 15,051 Recognized on hedged items — — — ( 23,325 ) — ( 23,325 ) Discount amortization recognized on hedged items — — — ( 41 ) — ( 41 ) Expense recognized on cash flow hedges $ — $ — $ — $ ( 8,315 ) $ — $ ( 8,315 ) Gains on financial derivatives not designated in hedging relationships: Gains on interest rate swaps $ — $ — $ — $ — $ 5,263 $ 5,263 Interest expense on interest rate swaps — — — — ( 3,999 ) ( 3,999 ) Treasury futures — — — — 3,499 3,499 Gains on financial derivatives not designated in hedge relationships $ — $ — $ — $ — $ 4,763 $ 4,763 28 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 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 (Losses)/gains 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 ) (Losses)/gains 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 hedge 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 29 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, 2023 and December 31, 2022: 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, 2023 December 31, 2022 September 30, 2023 December 31, 2022 (in thousands) Investment securities, Available-for-Sale, at fair value $ 1,138,569 $ 876,063 $ ( 153,592 ) $ ( 107,107 ) Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value 5,025,413 4,814,784 ( 463,464 ) ( 346,873 ) Loans held for investment, at amortized cost 1,570,732 1,623,301 ( 425,105 ) ( 327,278 ) Notes Payable (1) ( 12,614,569 ) ( 12,151,382 ) 478,942 531,086 (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, 2023 and December 31, 2022: Table 4.4 September 30, 2023 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 $ 27,583 $ — $ 27,583 $ ( 27,501 ) $ — $ — $ 82 Cleared derivatives 3,180 ( 3,180 ) — — — — — Total $ 30,763 $ ( 3,180 ) $ 27,583 $ ( 27,501 ) $ — $ — $ 82 Liabilities: Uncleared derivatives $ ( 150,625 ) $ — $ ( 150,625 ) $ 27,501 $ — $ 120,556 $ ( 2,568 ) Cleared derivatives ( 11,622 ) 3,180 ( 8,442 ) — 204,407 — 195,965 Total $ ( 162,247 ) $ 3,180 $ ( 159,067 ) $ 27,501 $ 204,407 $ 120,556 $ 193,397 (1) Amounts presented may not agree to the consolidated balance sheet related to counterparties not subject to master netting agreements. (2) Cash collateral excludes $ 24.1 million of collateral posted related to counterparties not subject to master netting agreements. 30 December 31, 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 $ 27,132 $ — $ 27,132 $ ( 27,132 ) $ — $ — $ — Cleared derivatives 14,450 ( 5,212 ) 9,238 — 203,993 — 213,231 Total $ 41,582 $ ( 5,212 ) $ 36,370 $ ( 27,132 ) $ 203,993 $ — $ 213,231 Liabilities: Uncleared derivatives $ ( 149,864 ) $ — $ ( 149,864 ) $ 27,132 $ — $ 121,065 $ ( 1,667 ) Cleared derivatives ( 5,212 ) 5,212 — — — — — Total $ ( 155,076 ) $ 5,212 $ ( 149,864 ) $ 27,132 $ — $ 121,065 $ ( 1,667 ) (1) Amounts presented may not agree to the consolidated balance sheet related to counterparties not subject to master netting agreements. (2) Cash collateral excludes $ 23.7 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, 2023 or December 31, 2022, 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, 2023 and December 31, 2022, 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 $ 24.5 billion notional amount of interest rate swaps outstanding as of September 30, 2023, $ 19.5 billion were cleared through the swap clearinghouse, the Chicago Mercantile Exchange ("CME"). Of Farmer Mac's $ 23.9 billion notional amount of interest rate swaps outstanding as of December 31, 2022, $ 19.5 billion were cleared through the CME. During 2023 and throughout 2022, 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, which was completed as of the end of the second quarter of 2023. 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, 2023 and December 31, 2022, Farmer Mac had no loans held for sale. Under the Agricultural Finance line of business, Farmer Mac has two segments – Farm & Ranch and Corporate AgFinance. The segments are characterized by similarities in risk attributes and the manner in which Farmer Mac monitors and assesses credit risk. 31 The following table includes loans held for investment and displays the composition of the loan balances as of September 30, 2023 and December 31, 2022: Table 5.1 As of September 30, 2023 As of December 31, 2022 Unsecuritized In Consolidated Trusts Total Unsecuritized In Consolidated Trusts Total (in thousands) Agricultural Finance loans Farm & Ranch $ 4,987,818 $ 1,422,854 $ 6,410,672 $ 5,150,750 $ 1,211,576 $ 6,362,326 Corporate AgFinance 1,223,777 — 1,223,777 1,166,253 — 1,166,253 Total Agricultural Finance loans 6,211,595 1,422,854 7,634,449 6,317,003 1,211,576 7,528,579 Rural Infrastructure Finance loans 3,342,713 — 3,342,713 3,021,266 — 3,021,266 Total unpaid principal balance (1) 9,554,308 1,422,854 10,977,162 9,338,269 1,211,576 10,549,845 Unamortized premiums, discounts, fair value hedge basis adjustment, and other cost basis adjustments ( 423,375 ) — ( 423,375 ) ( 329,290 ) — ( 329,290 ) Total loans 9,130,933 1,422,854 10,553,787 9,008,979 1,211,576 10,220,555 Allowance for losses ( 16,162 ) ( 452 ) ( 16,614 ) ( 14,629 ) ( 460 ) ( 15,089 ) Total loans, net of allowance $ 9,114,771 $ 1,422,402 $ 10,537,173 $ 8,994,350 $ 1,211,116 $ 10,205,466 (1) Unpaid principal balance is the basis of presentation in disclosures of outstanding balances for Farmer Mac's lines of business. Allowance for Losses The following table is a summary, by asset type, of the allowance for losses as of September 30, 2023 and December 31, 2022: Table 5.2 September 30, 2023 December 31, 2022 Allowance for Losses Allowance for Losses (in thousands) Loans: Agricultural Finance loans Farm & Ranch $ 3,910 $ 4,044 Corporate AgFinance 3,678 2,731 Total Agricultural Finance Loans 7,588 6,775 Rural Infrastructure Finance loans 9,026 8,314 Total $ 16,614 $ 15,089 32 The following is a summary of the changes in the allowance for losses for the three and nine months ended September 30, 2023 and 2022: Table 5.3 September 30, 2023 September 30, 2022 Agricultural Finance loans Rural Infrastructure Finance loans (3) Agricultural Finance loans Rural Infrastructure Finance loans (3) Farm & Ranch (1) Corporate AgFinance (2) Total Farm & Ranch (1) Corporate AgFinance (2) Total (in thousands) For the Three Months Ended Beginning Balance $ 3,935 $ 7,367 $ 11,302 $ 5,446 $ 2,265 $ 1,750 $ 4,015 $ 8,388 (Release of)/provision for losses ( 25 ) ( 3,689 ) ( 3,714 ) 3,580 ( 153 ) 334 181 418 Charge-offs — — — — — — — — Ending Balance $ 3,910 $ 3,678 $ 7,588 $ 9,026 $ 2,112 $ 2,084 $ 4,196 $ 8,806 For the Nine Months Ended Beginning Balance $ 4,044 $ 2,731 $ 6,775 $ 8,314 $ 2,882 $ 560 $ 3,442 $ 10,599 (Release of)/provision for losses ( 134 ) 947 813 712 ( 686 ) 1,524 838 ( 1,793 ) Charge-offs — — — — ( 84 ) — ( 84 ) — Ending Balance $ 3,910 $ 3,678 $ 7,588 $ 9,026 $ 2,112 $ 2,084 $ 4,196 $ 8,806 (1) As of September 30, 2023 and 2022, allowance for losses for Agricultural Finance Farm & Ranch loans includes $ 1.1 million and no allowance for collateral dependent assets secured by agricultural real estate, respectively. (2) As of September 30, 2023 and 2022, allowance for losses for Agricultural Finance Corporate AgFinance loans includes $ 0.0 million and $ 1.7 million allowance for collateral dependent assets secured by agricultural real estate, respectively. (3) As of both September 30, 2023 and 2022, allowance for losses for Rural Infrastructure Finance loans includes no allowance for collateral dependent assets. The $ 3.6 million net provision to the allowance for the Rural Infrastructure Finance portfolio during the quarter ended September 30, 2023 was primarily attributable to a single telecommunications loan that was downgraded to substandard during the quarter. The $ 3.7 million net release from the allowance for the Agricultural Finance mortgage loan portfolio during the quarter ended September 30, 2023 was primarily attributable to the full payoff of a single collateral dependent storage and processing loan. The $ 0.7 million net provision to the allowance for the Rural Infrastructure Finance portfolio during the nine months ended September 30, 2023 was primarily attributable to a single telecommunications loan that was downgraded to substandard during the most recent quarter. The $ 0.8 million net provision to the allowance for the Agricultural Finance mortgage loan portfolio during the nine months ended September 30, 2023 was primarily attributable to increased loan volume and certain risk rating downgrades. The net provision to the allowance for Rural Infrastructure Finance loan losses of $ 0.4 million recorded during third quarter 2022 was primarily attributable to net new loan volume. The $ 0.2 million net provision to the allowance for the Agricultural Finance mortgage loan portfolio during third quarter 2022 was primarily attributable to the deterioration of a single agricultural storage and processing loan. The $ 1.8 million net release from the allowance for the Rural Infrastructure Finance portfolio for the nine months ended September 30, 2022 was primarily attributable to improvements in forecasts of future economic conditions, and a first quarter risk rating upgrade on a single loan. The risk rating upgrade on that loan reflected that borrower's successful securitization of its large payable that arose during the arctic 33 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 following table presents the unpaid principal balances by delinquency status of Farmer Mac's loans and non-performing assets as of September 30, 2023 and December 31, 2022: Table 5.4 As of September 30, 2023 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 loans Farm & Ranch $ 6,319,094 $ 15,652 $ 5,321 $ 6,739 $ 27,712 $ 63,866 $ 6,410,672 Corporate AgFinance 1,223,777 — — — — — 1,223,777 Total Agricultural Finance loans 7,542,871 15,652 5,321 6,739 27,712 63,866 7,634,449 Rural Infrastructure Finance loans 3,342,713 — — — — — 3,342,713 Total $ 10,885,584 $ 15,652 $ 5,321 $ 6,739 $ 27,712 $ 63,866 $ 10,977,162 (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 $ 23.8 million of nonaccrual loans for which there was no associated allowance. During the three and nine months ended September 30, 2023, Farmer Mac received $ 0.4 million and $ 1.9 million in interest on nonaccrual loans, respectively. As of December 31, 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 loans Farm & Ranch $ 6,287,326 $ 10,066 $ 392 $ 1,140 $ 11,598 $ 63,402 $ 6,362,326 Corporate AgFinance 1,150,690 — — — — 15,563 1,166,253 Total Agricultural Finance loans 7,438,016 10,066 392 1,140 11,598 78,965 7,528,579 Rural Infrastructure Finance loans 3,021,266 — — — — — 3,021,266 Total $ 10,459,282 $ 10,066 $ 392 $ 1,140 $ 11,598 $ 78,965 $ 10,549,845 (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 $ 22.0 million of nonaccrual loans for which there was no associated allowance. During the year ended December 31, 2022, Farmer Mac received $ 5.6 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, 2023 and December 31, 2022, by year of origination: Table 5.5 As of September 30, 2023 Year of Origination: 2023 2022 2021 2020 2019 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Agricultural Finance - Farm & Ranch loans (1) : Internally Assigned Risk Rating: Acceptable $ 346,745 $ 1,143,457 $ 1,633,550 $ 1,129,203 $ 317,213 $ 1,077,958 $ 379,009 $ 6,027,135 Special mention (2) 49,039 48,891 61,030 12,530 19,164 29,464 13,430 233,548 Substandard (3) 520 20,900 7,514 21,626 23,690 64,942 10,797 149,989 Total $ 396,304 $ 1,213,248 $ 1,702,094 $ 1,163,359 $ 360,067 $ 1,172,364 $ 403,236 $ 6,410,672 For the Three Months Ended September 30, 2023: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 30, 2023: Current period 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. 35 As of September 30, 2023 Year of Origination: 2023 2022 2021 2020 2019 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Agricultural Finance - Corporate AgFinance (1) : Internally Assigned Risk Rating: Acceptable $ 180,030 $ 98,524 $ 262,572 $ 123,685 $ 99,696 $ 113,758 $ 240,977 $ 1,119,242 Special mention (2) — 14,625 15,632 50,856 20,347 1,021 2,054 104,535 Substandard (3) — — — — — — — — Total $ 180,030 $ 113,149 $ 278,204 $ 174,541 $ 120,043 $ 114,779 $ 243,031 $ 1,223,777 For the Three Months Ended September 30, 2023: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 30, 2023: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — (1) Amounts represent unpaid principal balance of risk-rated loans, which is the basis Farmer Mac uses to analyze its portfolio, and recorded investment of past due loans. (2) Assets in the "Special mention" category generally have potential weaknesses due to performance issues but are currently considered to be adequately secured. (3) Substandard assets have a well-defined weakness or weaknesses and there is a distinct possibility that some loss will be sustained if deficiencies are not corrected. As of September 30, 2023 Year of Origination: 2023 2022 2021 2020 2019 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Rural Infrastructure Finance loans (1) : Internally Assigned Risk Rating: Acceptable $ 450,241 $ 694,635 $ 189,385 $ 598,689 $ 711,794 $ 610,062 $ 58,413 $ 3,313,219 Special mention (2) — — — — — — — — Substandard (3) — 29,494 — — — — — 29,494 Total $ 450,241 $ 724,129 $ 189,385 $ 598,689 $ 711,794 $ 610,062 $ 58,413 $ 3,342,713 For the Three Months Ended September 30, 2023: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 30, 2023: Current period 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, 2022 Year of Origination: 2022 2021 2020 2019 2018 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Agricultural Finance - Farm & Ranch loans (1) : Internally Assigned Risk Rating: Acceptable $ 1,157,829 $ 1,704,547 $ 1,187,474 $ 360,704 $ 242,491 $ 947,535 $ 385,503 $ 5,986,083 Special mention (2) 91,099 68,260 25,629 11,254 5,325 17,797 2,452 221,816 Substandard (3) 3,094 8,814 22,976 23,937 17,845 67,654 10,107 154,427 Total $ 1,252,022 $ 1,781,621 $ 1,236,079 $ 395,895 $ 265,661 $ 1,032,986 $ 398,062 $ 6,362,326 For the Three Months Ended September 30, 2022: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 30, 2022: Current period 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. As of December 31, 2022 Year of Origination: 2022 2021 2020 2019 2018 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Agricultural Finance - Corporate AgFinance loans (1) : Internally Assigned Risk Rating: Acceptable $ 145,263 $ 299,729 $ 221,560 $ 108,230 $ 76,454 $ 44,827 $ 232,107 $ 1,128,170 Special mention (2) — — — 20,698 — — 2,145 22,843 Substandard (3) — — 4,598 — — — 10,642 15,240 Total $ 145,263 $ 299,729 $ 226,158 $ 128,928 $ 76,454 $ 44,827 $ 244,894 $ 1,166,253 For the Three Months Ended September 30, 2022: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 30, 2022: Current period 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, 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 $ 741,021 $ 220,420 $ 629,223 $ 739,270 $ 7,932 $ 649,830 $ 33,570 $ 3,021,266 Special mention (2) — — — — — — — — Substandard (3) — — — — — — — — Total $ 741,021 $ 220,420 $ 629,223 $ 739,270 $ 7,932 $ 649,830 $ 33,570 $ 3,021,266 For the Three Months Ended September 30, 2022: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 30, 2022: Current period 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, 2023 and December 31, 2022, 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, 2023 As of December 31, 2022 (in thousands) Agricultural Finance Farmer Mac Guaranteed Securities $ 455,681 $ 500,953 Rural Infrastructure Finance Farmer Mac Guaranteed Securities 1,098 1,169 Total off-balance sheet Farmer Mac Guaranteed Securities $ 456,779 $ 502,122 Eligible loans and other eligible assets may be placed into trusts that are used as vehicles for the securitization of the transferred assets and the Farmer Mac-guaranteed beneficial interests in the trusts are sold to investors. The following table summarizes the significant cash flows received from and paid to trusts used for Farmer Mac securitizations: 38 Table 6.2 For the Nine Months Ended September 30, 2023 September 30, 2022 (in thousands) Proceeds from new securitizations $ 222,188 $ 305,410 Guarantee fees received 1,280 1,464 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, 2023 As of December 31, 2022 (dollars in thousands) Guarantee and commitment obligation $ 6,053 $ 6,461 Weighted average remaining maturity: Farmer Mac Guaranteed Securities 22.1 years 21.4 years AgVantage Securities 1.2 years 2.0 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, 2023 As of December 31, 2022 (dollars in thousands) Guarantee and commitment obligation (1) $ 41,554 $ 40,121 Maximum principal amount 3,613,934 3,423,155 Weighted-average remaining maturity 14.7 years 15.3 years (1) Relates to LTSPCs issued or modified on or after January 1, 2003. 39 Reserve for Losses - LTSPCs and Farmer Mac Guaranteed Securities The following table is a summary, by asset type, of the reserve for losses as of September 30, 2023 and December 31, 2022: Table 6.5 September 30, 2023 December 31, 2022 Reserve for Losses Reserve for Losses (in thousands) Agricultural Finance $ 1,412 $ 819 Rural Infrastructure Finance 248 614 Total $ 1,660 $ 1,433 The following is a summary of the changes in the reserve for losses for the three and nine month periods ended September 30, 2023 and 2022: Table 6.6 For the Three Months Ended For the Nine Months Ended September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022 Reserve for Losses Reserve for Losses Reserve for Losses Reserve for Losses (in thousands) (in thousands) Agricultural Finance Beginning Balance $ 1,471 $ 882 $ 819 $ 1,068 (Release of)/provision for losses ( 59 ) ( 139 ) 593 ( 325 ) Ending Balance $ 1,412 $ 743 $ 1,412 $ 743 Rural Infrastructure Finance Beginning Balance $ 234 $ 795 $ 614 $ 882 Provision for/(release of) losses 14 ( 28 ) ( 366 ) ( 115 ) Ending Balance $ 248 $ 767 $ 248 $ 767 The provision for the reserve for losses in the Agricultural Finance LTSPC portfolio recorded during the nine months ended September 30, 2023 was primarily due to an updated estimate of expected losses based on additional available loss-given-default industry data. The release from the reserve for losses in the Rural Infrastructure Finance LTSPC portfolio recorded during the nine months ended September 30, 2023 was primarily due to an updated estimate of expected losses based on additional available loss-given-default industry data. The allowance for 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 remained relatively constant. 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, 2023 and December 31, 2022: 40 Table 6.7 As of September 30, 2023 Current 30-59 Days 60-89 Days 90 Days and Greater (1) Total Past Due Total Loans (in thousands) Agricultural Finance: $ 3,368,620 $ 5,196 $ 3,573 $ 2,840 $ 11,609 $ 3,380,229 Rural Infrastructure Finance: 487,517 — — — — 487,517 Total $ 3,856,137 $ 5,196 $ 3,573 $ 2,840 $ 11,609 $ 3,867,746 (1) Includes loans underlying off-balance sheet Farmer Mac 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, 2022 Current 30-59 Days 60-89 Days 90 Days and Greater (1) Total Past Due Total Loans (in thousands) Agricultural Finance: $ 3,174,939 $ 11,614 $ 622 $ 3,817 $ 16,053 $ 3,190,992 Rural Infrastructure Finance: 523,192 — — — — 523,192 Total $ 3,698,131 $ 11,614 $ 622 $ 3,817 $ 16,053 $ 3,714,184 (1) Includes loans underlying off-balance sheet Farmer Mac 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, 2023 and December 31, 2022, by year of origination: 41 Table 6.8 As of September 30, 2023 Year of Origination: 2023 2022 2021 2020 2019 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Agricultural Finance: Internally Assigned Risk Rating: Acceptable $ 148,802 $ 243,690 $ 513,841 $ 535,172 $ 272,257 $ 1,228,548 $ 362,825 $ 3,305,135 Special mention (1) — 2,568 1,294 877 — 39,657 527 44,923 Substandard (2) — — — 131 1,541 27,236 1,263 30,171 Total $ 148,802 $ 246,258 $ 515,135 $ 536,180 $ 273,798 $ 1,295,441 $ 364,615 $ 3,380,229 For the Three Months Ended September 30, 2023: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 30, 2023: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — (1) Assets in the "Special mention" category generally have potential weaknesses due to performance issues but are currently considered to be adequately secured. (2) Substandard assets have a well-defined weakness or weaknesses and there is a distinct possibility that some loss will be sustained if deficiencies are not corrected. As of September 30, 2023 Year of Origination: 2023 2022 2021 2020 2019 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Rural Infrastructure Finance: Internally Assigned Risk Rating: Acceptable $ — $ — $ — $ — $ — $ 426,504 $ 61,013 $ 487,517 Special mention (1) — — — — — — — — Substandard (2) — — — — — — — — Total $ — $ — $ — $ — $ — $ 426,504 $ 61,013 $ 487,517 For the Three Months Ended September 30, 2023: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 30, 2023: Current period 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 December 31, 2022 Year of Origination: 2022 2021 2020 2019 2018 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Agricultural Finance: Internally Assigned Risk Rating: Acceptable $ 202,998 $ 496,269 $ 535,798 $ 254,293 $ 207,379 $ 1,107,834 $ 296,508 $ 3,101,079 Special mention (1) — 1,319 1,778 — 1,198 42,680 3,205 50,180 Substandard (2) — — 176 — 3,588 32,597 3,372 39,733 Total $ 202,998 $ 497,588 $ 537,752 $ 254,293 $ 212,165 $ 1,183,111 $ 303,085 $ 3,190,992 For the Three Months Ended September 30, 2022: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 30, 2022: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — (1) Assets in the "Special mention" category generally have potential weaknesses due to performance issues but are currently considered to be adequately secured. (2) Substandard assets have a well-defined weakness or weaknesses and there is a distinct possibility that some loss will be sustained if deficiencies are not corrected. As of December 31, 2022 Year of Origination: 2022 2021 2020 2019 2018 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Rural Infrastructure Finance: Internally Assigned Risk Rating: Acceptable $ — $ — $ — $ — $ — $ 470,659 $ 52,533 $ 523,192 Special mention (1) — — — — — — — — Substandard (2) — — — — — — — — Total $ — $ — $ — $ — $ — $ 470,659 $ 52,533 $ 523,192 For the Three Months Ended September 30, 2022: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Nine Months Ended September 30, 2022: Current period 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 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 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, 2023 and December 31, 2022: Table 7.1 September 30, 2023 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 $ 1,535,856 5.30 % $ 942,297 4.92 % Medium-term notes 947,466 4.75 % 2,085,249 4.00 % Current portion of medium-term notes 5,472,893 2.49 % Total due within one year $ 7,956,215 3.30 % Due after one year: Medium-term notes due in: Two years $ 5,231,168 3.05 % Three years 3,243,230 2.21 % Four years 3,297,724 2.64 % Five years 2,306,430 4.07 % Thereafter 3,567,720 2.80 % Total due after one year $ 17,646,272 2.90 % Total principal net of discounts $ 25,602,487 3.03 % Hedging adjustments ( 478,942 ) Total $ 25,123,545 44 December 31, 2022 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 $ 565,578 3.91 % $ 1,325,026 0.96 % Medium-term notes 2,547,733 3.54 % 1,442,932 2.11 % Current portion of medium-term notes 4,920,864 1.49 % Total due within one year $ 8,034,175 2.31 % Due after one year: Medium-term notes due in: Two years $ 4,072,740 1.71 % Three years 3,506,480 2.10 % Four years 2,967,625 1.44 % Five years 2,361,197 3.12 % Thereafter 4,057,982 2.60 % Total due after one year $ 16,966,024 2.15 % Total principal net of discounts $ 25,000,199 2.20 % Hedging adjustments ( 531,086 ) Total $ 24,469,113 The maximum amount of Farmer Mac's discount notes outstanding at any month end during the nine months ended September 30, 2023 and 2022 was $ 1.5 billion and $ 2.2 billion, respectively. Callable medium-term notes give Farmer Mac the option to redeem the debt at par value on a specified call date or at any time on or after a specified call date. The following table summarizes by maturity date the amounts and costs for Farmer Mac debt callable in 2023 as of September 30, 2023: Table 7.2 Debt Callable in 2023 as of September 30, 2023, by Maturity Amount Weighted-Average Rate (dollars in thousands) Maturity: 2024 $ 816,830 3.66 % 2025 664,046 2.33 % 2026 1,012,989 1.57 % 2027 560,204 2.27 % Thereafter 1,161,379 2.51 % Total $ 4,215,448 2.45 % 45 The following schedule summarizes the earliest interest rate reset date, or debt maturities, of total borrowings outstanding as of September 30, 2023, 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: 2023 $ 5,468,108 4.57 % 2024 5,454,586 2.62 % 2025 4,222,333 2.60 % 2026 3,319,847 1.81 % 2027 2,573,406 3.14 % Thereafter 4,564,207 2.87 % Total principal net of discounts $ 25,602,487 3.03 % During the nine months ended September 30, 2023 and 2022, Farmer Mac called $ 111.0 million and $ 26.0 million 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, 2023, Farmer Mac had not used this borrowing authority. Gains on Repurchases of Outstanding Debt No outstanding debt repurchases were made in the nine months ended September 30, 2023 and 2022. 8. EQUITY Common Stock During each of the first, second, and third quarters 2023, Farmer Mac paid a quarterly dividend of $ 1.10 per share on all classes of its common stock. For each quarter in 2022, Farmer Mac paid a quarterly dividend of $ 0.95 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 46 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 that two-year period. In February 2023, Farmer Mac's board of directors renewed 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 February 2025. Farmer Mac did no t repurchase any shares of its Class C non-voting common stock during third quarter 2023. As of September 30, 2023, 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, 2023 and December 31, 2022, 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, 2023, Farmer Mac's minimum capital requirement was $ 840.1 million and its core capital level was $ 1.4 billion, which was $ 581.1 million above the minimum capital requirement as of that date. As of December 31, 2022, Farmer Mac's minimum capital requirement was $ 805.9 million and its core capital level was $ 1.3 billion, which was $ 516.9 million above the minimum capital requirement as of that date. In accordance with a rule of the Farm Credit Administration ("FCA") 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. 47 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, 2023 and December 31, 2022, 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, 2023 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 $ — $ — $ 19,033 $ 19,033 Floating rate Government/GSE guaranteed mortgage-backed securities — 2,465,545 — 2,465,545 Fixed rate GSE guaranteed mortgage-backed securities — 1,386,378 — 1,386,378 Floating rate U.S. Treasuries 50,011 — — 50,011 Fixed rate U.S. Treasuries 952,447 — — 952,447 Total Available-for-sale Investment Securities 1,002,458 3,851,923 19,033 4,873,414 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage — — 5,048,708 5,048,708 Farmer Mac Guaranteed Securities — — 9,989 9,989 Total Farmer Mac Guaranteed Securities — — 5,058,697 5,058,697 USDA Securities: Trading — — 1,302 1,302 Total USDA Securities — — 1,302 1,302 Financial derivatives 81 28,774 — 28,855 Guarantee Asset — — 5,963 5,963 Total Assets at fair value $ 1,002,539 $ 3,880,697 $ 5,084,995 $ 9,968,231 Liabilities: Financial derivatives $ 12 $ 188,350 $ — $ 188,362 Total Liabilities at fair value $ 12 $ 188,350 $ — $ 188,362 (1) Level 3 assets represent 18 % of total assets and 50 % of financial instruments measured at fair value. 48 Assets and Liabilities Measured at Fair Value as of December 31, 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 $ — $ — $ 19,027 $ 19,027 Floating rate Government/GSE guaranteed mortgage-backed securities — 2,392,540 — 2,392,540 Fixed rate GSE guaranteed mortgage-backed securities — 1,048,386 — 1,048,386 Fixed rate U.S. Treasuries 1,119,611 — — 1,119,611 Total Available-for-sale Investment Securities 1,119,611 3,440,926 19,027 4,579,564 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage — — 7,599,379 7,599,379 Farmer Mac Guaranteed Securities — — 7,847 7,847 Total Farmer Mac Guaranteed Securities — — 7,607,226 7,607,226 USDA Securities: Trading — — 1,767 1,767 Total USDA Securities — — 1,767 1,767 Financial derivatives — 37,409 — 37,409 Guarantee Asset — — 4,467 4,467 Total Assets at fair value $ 1,119,611 $ 3,478,335 $ 7,632,487 $ 12,230,433 Liabilities: Financial derivatives $ 142 $ 175,184 $ — $ 175,326 Total Liabilities at fair value $ 142 $ 175,184 $ — $ 175,326 (1) Level 3 assets represent 28 % 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, 2023 or December 31, 2022. 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, 2023 and 2022, there were no transfers within the fair value hierarchy. 49 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, 2023 and 2022. Table 9.2 Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended September 30, 2023 Beginning Balance Purchases Settlements Allowance for Losses Realized and unrealized (losses)/gains included in Income Unrealized gains included in Other Comprehensive Income Transfers Out (1) Ending Balance (in thousands) Recurring: Assets: Investment Securities: Available-for-sale: Floating rate auction-rate certificates backed by Government guaranteed student loans $ 19,032 $ — $ — $ 1 $ — $ — $ — $ 19,033 Total available-for-sale 19,032 — — 1 — — — 19,033 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage 7,737,810 100,000 ( 6,875 ) 133 ( 107,917 ) 9,653 ( 2,684,096 ) 5,048,708 Farmer Mac Guaranteed Securities 7,605 — ( 169 ) — — 2,553 — 9,989 Total available-for-sale 7,745,415 100,000 ( 7,044 ) 133 ( 107,917 ) 12,206 ( 2,684,096 ) 5,058,697 USDA Securities: Trading 1,348 — ( 44 ) — ( 2 ) — — 1,302 Total USDA Securities 1,348 — ( 44 ) — ( 2 ) — — 1,302 Guarantee and commitment obligations: Guarantee Asset 4,331 — ( 84 ) — 1,716 — — 5,963 Total Guarantee and commitment obligations 4,331 — ( 84 ) — 1,716 — — 5,963 Total Assets at fair value $ 7,770,126 $ 100,000 $ ( 7,172 ) $ 134 $ ( 106,203 ) $ 12,206 $ ( 2,684,096 ) $ 5,084,995 (1) Includes $ 2.7 billion of AgVantage Securities transferred from available-for-sale to held-to-maturity on July 1, 2023. 50 Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended September 30, 2022 Beginning Balance Purchases 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 Nine Months Ended September 30, 2023 Beginning Balance Purchases Settlements Allowance for Losses Realized and unrealized (losses)/gains included in Income Unrealized gains included in Other Comprehensive Income Transfers Out (1) Ending Balance (in thousands) Recurring: Assets: Investment Securities: Available-for-sale: Floating rate auction-rate certificates backed by Government guaranteed student loans $ 19,027 $ — $ — $ 6 $ — $ — $ — $ 19,033 Total available-for-sale 19,027 — — 6 — — — 19,033 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage 7,599,379 1,639,650 ( 1,405,674 ) 173 ( 116,447 ) 15,723 ( 2,684,096 ) 5,048,708 Farmer Mac Guaranteed Securities 7,847 — ( 1,043 ) — — 3,185 — 9,989 Total available-for-sale 7,607,226 1,639,650 ( 1,406,717 ) 173 ( 116,447 ) 18,908 ( 2,684,096 ) 5,058,697 USDA Securities: Trading 1,767 — ( 479 ) — 14 — — 1,302 Total USDA Securities 1,767 — ( 479 ) — 14 — — 1,302 Guarantee and commitment obligations: Guarantee Asset 4,467 — ( 506 ) — 2,002 — — 5,963 Total Guarantee and commitment obligations 4,467 — ( 506 ) — 2,002 — — 5,963 Total Assets at fair value $ 7,632,487 $ 1,639,650 $ ( 1,407,702 ) $ 179 $ ( 114,431 ) $ 18,908 $ ( 2,684,096 ) $ 5,084,995 (1) Includes $ 2.7 billion of AgVantage Securities transferred from available-for-sale to held-to-maturity on July 1, 2023. 52 Level 3 Assets and Liabilities Measured at Fair Value for the Nine Months Ended September 30, 2022 Beginning Balance Purchases 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 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, 2023 and December 31, 2022: Table 9.3 As of September 30, 2023 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 $ 19,033 Indicative bids Range of broker quotes 96.8 % - 96.8 % ( 96.8 %) Farmer Mac Guaranteed Securities: AgVantage $ 5,048,708 Discounted cash flow Discount rate 5.4 % - 6.0 % ( 5.7 %) Farmer Mac Guaranteed Securities $ 9,989 Discounted cash flow Discount rate 8.5 % CPR 3 % USDA Securities $ 1,302 Discounted cash flow Discount rate 5.9 % - 6.1 % ( 6.0 %) CPR 11 % - 11 % ( 11 %) Guarantee Asset $ 5,963 Discounted cash flow Discount rate 8.5 % CPR 3 % As of December 31, 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 $ 19,027 Indicative bids Range of broker quotes 96.8 % - 96.8 % ( 96.8 %) Farmer Mac Guaranteed Securities: AgVantage $ 7,599,379 Discounted cash flow Discount rate 4.7 % - 6.1 % ( 5.1 %) Farmer Mac Guaranteed Securities $ 7,847 Discounted cash flow Discount rate 4.8 % - 5.3 % ( 5.1 %) CPR 8 % USDA Securities $ 1,767 Discounted cash flow Discount rate 5.1 % - 5.7 % ( 5.3 %) CPR 19 % - 27 % ( 25 %) Guarantee Asset $ 4,467 Discounted cash flow Discount rate 5.4 % - 5.9 % ( 5.7 %) CPR 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, 2023 and December 31, 2022: Table 9.4 As of September 30, 2023 As of December 31, 2022 Fair Value Carrying Amount Fair Value Carrying Amount (in thousands) Financial assets: Cash and cash equivalents $ 782,318 $ 782,318 $ 861,002 $ 861,002 Investment securities 4,925,183 4,924,253 4,630,701 4,628,268 Farmer Mac Guaranteed Securities 9,170,053 9,216,111 8,573,781 8,628,380 USDA Securities 1,933,529 2,323,657 2,099,445 2,411,601 Loans 9,718,846 10,537,173 9,666,710 10,205,466 Financial derivatives 28,855 28,855 37,409 37,409 Guarantee and commitment fees receivable 58,819 49,809 50,653 47,151 Financial liabilities: Notes payable 24,224,819 25,123,545 23,591,330 24,469,113 Debt securities of consolidated trusts held by third parties 1,209,757 1,334,014 1,106,837 1,181,948 Financial derivatives 188,362 188,362 175,326 175,326 Guarantee and commitment obligations 56,617 47,607 50,083 46,582 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 the market standard methodology of netting the discounted future fixed cash payments (or 55 receipts) and the discounted expected variable cash receipts (or payments) and are classified as Level 2. The fair value of the guarantee fees receivable/obligation and debt securities of consolidated trusts are estimated based on the present value of expected future cash flows of the underlying mortgage assets using management's best estimate of certain key assumptions, which include prepayments speeds, forward yield curves, and discount rates commensurate with the risks involved and are classified as Level 3. Notes payable are valued by discounting the expected cash flows of these instruments using a yield curve derived from market prices observed for similar agency securities and are also classified as Level 3. Because the cash flows of Farmer Mac's financial instruments may be interest rate path dependent, estimated fair values and projected discount rates for Level 3 financial instruments are derived using a Monte Carlo simulation model. Different market assumptions and estimation methodologies could significantly affect estimated fair value amounts. 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, 2023 and 2022. 56 Table 10.1 Core Earnings by Business Segment For the Three Months Ended September 30, 2023 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 $ 33,735 $ 8,250 $ 6,393 $ 1,150 $ 37,642 $ 473 $ — $ — $ 87,643 Less: reconciling adjustments (1)(2)(3) ( 1,017 ) — ( 31 ) — ( 3,230 ) 59 — 4,219 — Net effective spread 32,718 8,250 6,362 1,150 34,412 532 — 4,219 — Guarantee and commitment fees 4,447 78 279 24 — — — 692 5,520 Other income/(expense) (3) 807 — — — 3 6 240 2,884 3,940 Total revenues 37,972 8,328 6,641 1,174 34,415 538 240 7,795 97,103 Release of/(provision for) losses 13 3,694 ( 3,504 ) ( 66 ) — ( 1 ) — — 136 Release of/(provision for) reserve for losses 58 — ( 13 ) — — — — — 45 Operating expenses — — — — — — ( 24,034 ) — ( 24,034 ) Total non-interest expense 58 — ( 13 ) — — — ( 24,034 ) — ( 23,989 ) Core earnings before income taxes 38,043 12,022 3,124 1,108 34,415 537 ( 23,794 ) 7,795 (4) 73,250 Income tax (expense)/benefit ( 7,989 ) ( 2,525 ) ( 656 ) ( 233 ) ( 7,226 ) ( 113 ) 5,267 ( 1,638 ) ( 15,113 ) Core earnings before preferred stock dividends 30,054 9,497 2,468 875 27,189 424 ( 18,527 ) 6,157 (4) 58,137 Preferred stock dividends — — — — — — ( 6,792 ) — ( 6,792 ) Segment core earnings/(losses) $ 30,054 $ 9,497 $ 2,468 $ 875 $ 27,189 $ 424 $ ( 25,319 ) $ 6,157 (4) $ 51,345 Total Assets $ 14,660,371 $ 1,619,664 $ 6,648,693 $ 320,572 $ — $ 4,866,969 $ 195,112 $ — $ 28,311,381 Total on- and off-balance sheet program assets at principal balance $ 18,461,835 $ 1,741,306 $ 7,118,295 $ 330,575 $ — $ — $ — $ — $ 27,652,011 (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 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, 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 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, 2023 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 $ 102,671 $ 22,842 $ 17,772 $ 3,108 $ 98,588 $ 397 $ — $ — $ 245,378 Less: reconciling adjustments (1)(2)(3) ( 3,100 ) — ( 95 ) — 60 186 — 2,949 — Net effective spread 99,571 22,842 17,677 3,108 98,648 583 — 2,949 — Guarantee and commitment fees 12,960 193 841 69 — — — ( 1,121 ) 12,942 Other income/(expense) (3) 2,216 12 — — 3 17 284 5,484 8,016 Total revenues 114,747 23,047 18,518 3,177 98,651 600 284 7,312 266,336 Release of/(provision for) losses 136 ( 934 ) ( 652 ) ( 38 ) — 4 — — ( 1,484 ) (Provision for)/release of reserve for losses ( 594 ) — 367 — — — — — ( 227 ) Operating expenses — — — — — — ( 71,935 ) — ( 71,935 ) Total non-interest expense ( 594 ) — 367 — — — ( 71,935 ) — ( 72,162 ) Core earnings before income taxes 114,289 22,113 18,233 3,139 98,651 604 ( 71,651 ) 7,312 (4) 192,690 Income tax (expense)/benefit ( 24,001 ) ( 4,644 ) ( 3,829 ) ( 659 ) ( 20,716 ) ( 127 ) 15,206 ( 1,536 ) ( 40,306 ) Core earnings before preferred stock dividends 90,288 17,469 14,404 2,480 77,935 477 ( 56,445 ) 5,776 (4) 152,384 Preferred stock dividends — — — — — — ( 20,374 ) — ( 20,374 ) Segment core earnings/(losses) $ 90,288 $ 17,469 $ 14,404 $ 2,480 $ 77,935 $ 477 $ ( 76,819 ) $ 5,776 (4) $ 132,010 Total Assets $ 14,660,371 $ 1,619,664 $ 6,648,693 $ 320,572 $ — $ 4,866,969 $ 195,112 $ — $ 28,311,381 Total on- and off-balance sheet program assets at principal balance $ 18,461,835 $ 1,741,306 $ 7,118,295 $ 330,575 $ — $ — $ — $ — $ 27,652,011 (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 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, 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 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. 60