FEDERAL AGRICULTURAL MORTGAGE CORP 10-Q

Item 1. Financial Statements FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES CONSOLIDATED BALANCE SHEETS (unaudited) As of June 30, 2024 December 31, 2023 (in thousands) Assets: Cash and cash equivalents $ 922,961 $ 888,707 Investment securities: Available-for-sale, at fair value (amortized cost of $ 5,410,032 and $ 5,060,135 , respectively) 5,248,715 4,918,931 Held-to-maturity, at amortized cost 9,270 53,756 Other investments 7,398 6,817 Total Investment Securities 5,265,383 4,979,504 Farmer Mac Guaranteed Securities: Available-for-sale, at fair value (amortized cost of $ 5,755,298 and $ 5,825,433 , respectively) 5,399,151 5,532,479 Held-to-maturity, at amortized cost 3,929,068 4,213,069 Total Farmer Mac Guaranteed Securities 9,328,219 9,745,548 USDA Securities: Trading, at fair value 1,026 1,241 Held-to-maturity, at amortized cost 2,330,535 2,354,171 Total USDA Securities 2,331,561 2,355,412 Loans: Loans held for investment, at amortized cost 10,041,653 9,623,119 Loans held for investment in consolidated trusts, at amortized cost 1,761,355 1,432,261 Allowance for losses ( 16,500 ) ( 16,031 ) Total loans, net of allowance 11,786,508 11,039,349 Financial derivatives, at fair value 53,686 37,478 Accrued interest receivable (includes $ 21,711 and $ 16,764 , respectively, related to consolidated trusts) 285,774 287,128 Guarantee and commitment fees receivable 46,754 49,832 Deferred tax asset, net — 8,470 Prepaid expenses and other assets 173,468 132,954 Total Assets $ 30,194,314 $ 29,524,382 Liabilities and Equity: Liabilities: Notes payable $ 26,542,671 $ 26,336,542 Debt securities of consolidated trusts held by third parties 1,662,549 1,351,069 Financial derivatives, at fair value 118,421 117,131 Accrued interest payable (includes $ 10,275 and $ 9,407 , respectively, related to consolidated trusts) 194,171 181,841 Guarantee and commitment obligation 44,758 47,563 Accounts payable and accrued expenses 125,267 76,662 Deferred tax liability, net 3,804 — Reserve for losses 1,694 1,711 Total Liabilities 28,693,335 28,112,519 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, 9,350,240 shares and 9,310,872 shares outstanding, respectively 9,350 9,311 Additional paid-in capital 134,143 132,919 Accumulated other comprehensive loss, net of tax ( 9,141 ) ( 40,145 ) Retained earnings 880,565 823,716 Total Equity 1,500,979 1,411,863 Total Liabilities and Equity $ 30,194,314 $ 29,524,382 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 Six Months Ended June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 (in thousands, except per share amounts) Interest income: Investments and cash equivalents $ 84,538 $ 69,779 $ 169,462 $ 129,482 Farmer Mac Guaranteed Securities and USDA Securities 166,063 144,761 332,876 281,298 Loans 153,105 129,292 297,685 248,324 Total interest income 403,706 343,832 800,023 659,104 Total interest expense 316,366 265,155 626,315 501,369 Net interest income 87,340 78,677 173,708 157,735 Provision for losses ( 6,179 ) ( 1,073 ) ( 4,378 ) ( 1,620 ) Net interest income after provision for losses 81,161 77,604 169,330 156,115 Non-interest income/(expense): Guarantee and commitment fees 3,797 3,489 7,714 7,422 (Losses)/gains on financial derivatives ( 1,799 ) 1,693 280 2,092 Losses on sale of mortgage loans ( 1,147 ) — ( 1,147 ) — Gains on sale of available-for-sale investment securities 1,052 — 1,052 — (Provision for)/release of reserve for losses ( 51 ) ( 69 ) 18 ( 272 ) Other income 674 758 1,923 1,984 Non-interest income 2,526 5,871 9,840 11,226 Operating expenses: Compensation and employee benefits 14,840 13,937 33,097 29,288 General and administrative 8,904 9,420 17,159 16,947 Regulatory fees 725 831 1,450 1,666 Operating expenses 24,469 24,188 51,706 47,901 Income before income taxes 59,218 59,287 127,464 119,440 Income tax expense 12,113 12,075 26,613 25,193 Net income 47,105 47,212 100,851 94,247 Preferred stock dividends ( 6,792 ) ( 6,791 ) ( 13,583 ) ( 13,582 ) Net income attributable to common stockholders $ 40,313 $ 40,421 $ 87,268 $ 80,665 Earnings per common share: Basic earnings per common share $ 3.71 $ 3.73 $ 8.04 $ 7.46 Diluted earnings per common share $ 3.68 $ 3.70 $ 7.96 $ 7.39 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 Six Months Ended June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 (in thousands) Net income $ 47,105 $ 47,212 $ 100,851 $ 94,247 Other comprehensive income/(loss): Net unrealized (losses)/gains on available-for-sale securities ( 5,287 ) 23,334 34,665 23,992 Net changes in held-to-maturity securities 320 ( 321 ) ( 314 ) ( 1,103 ) Net unrealized (losses)/gains on cash flow hedges ( 1,392 ) 9,279 4,894 ( 2,013 ) Other comprehensive (loss)/income before tax ( 6,359 ) 32,292 39,245 20,876 Income tax benefit/(expense) related to other comprehensive (loss)/income 1,336 ( 6,781 ) ( 8,241 ) ( 4,384 ) Other comprehensive (loss)/income net of tax ( 5,023 ) 25,511 31,004 16,492 Comprehensive income $ 42,082 $ 72,723 $ 131,855 $ 110,739 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, 2023 19,980 $ 484,531 10,842 $ 10,842 $ 132,919 $ ( 40,145 ) $ 823,716 $ 1,411,863 Net Income — — — — — — 53,746 53,746 Other comprehensive income, net of tax — — — — — 36,027 — 36,027 Cash dividends: Preferred stock — — — — — — ( 6,791 ) ( 6,791 ) Common stock (cash dividend of $ 1.40 per share) — — — — — — ( 15,186 ) ( 15,186 ) Issuance of Class C Common Stock — — 27 27 64 — — 91 Stock-based compensation cost — — — — 3,483 — — 3,483 Other stock-based award activity — — — — ( 2,890 ) — — ( 2,890 ) Balance as of March 31, 2024 19,980 $ 484,531 10,869 $ 10,869 $ 133,576 $ ( 4,118 ) $ 855,485 $ 1,480,343 Net Income — — — — — — 47,105 47,105 Other comprehensive loss, net of tax — — — — — ( 5,023 ) — ( 5,023 ) Cash dividends: Preferred stock — — — — — — ( 6,792 ) ( 6,792 ) Common stock (cash dividend of $ 1.40 per share) — — — — — — ( 15,233 ) ( 15,233 ) Issuance of Class C Common Stock — — 12 12 67 — — 79 Stock-based compensation cost — — — — 1,555 — — 1,555 Other stock-based award activity — — — — ( 1,055 ) — — ( 1,055 ) Balance as of June 30, 2024 19,980 $ 484,531 10,881 $ 10,881 $ 134,143 $ ( 9,141 ) $ 880,565 $ 1,500,979 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 The accompanying notes are an integral part of these consolidated financial statements. 6 FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF CASH FLOWS (unaudited) For the Six Months Ended June 30, 2024 June 30, 2023 (in thousands) Cash flows from operating activities: Net income $ 100,851 $ 94,247 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 ( 13,257 ) ( 6,073 ) Amortization of debt premiums, discounts, and issuance costs 29,553 13,514 Net change in fair value of trading securities, hedged items, and financial derivatives 141,556 69,056 Losses on sale of mortgage loans 1,147 — Gains on the sale of available-for-sale investment securities ( 1,052 ) — Total provision for/(release of) allowance for losses 4,360 1,892 Excess tax benefits related to stock-based awards 221 257 Deferred income taxes 4,033 10,318 Stock-based compensation expense 5,038 3,478 Proceeds from repayment of loans purchased as held for sale 13,564 18,114 Net change in: Interest receivable ( 1,189 ) ( 10,549 ) Guarantee and commitment fees receivable 273 261 Other assets ( 13,176 ) ( 8,627 ) Accrued interest payable 12,330 26,090 Custodial deposit liability 11,872 ( 24,944 ) Other liabilities ( 6,658 ) ( 7,371 ) Net cash provided by operating activities 289,466 179,663 Cash flows from investing activities: Purchases of equipment and leasehold improvements ( 5,206 ) — Purchases of available-for-sale and held-to-maturity investment securities ( 1,165,956 ) ( 857,168 ) Purchases of other investment securities ( 581 ) ( 1,492 ) Purchases of Farmer Mac Guaranteed Securities and USDA Securities ( 798,234 ) ( 1,636,111 ) Purchases of loans held for investment ( 1,593,259 ) ( 1,045,498 ) Proceeds from repayment of available-for-sale and held-to-maturity investment securities 775,168 856,133 Proceeds from repayment of Farmer Mac Guaranteed Securities and USDA Securities 1,175,360 1,739,248 Proceeds from repayment of loans purchased as held for investment 809,934 662,458 Proceeds from sale of available-for-sale investment securities 102,955 — Proceeds from sale of loans previously classified as held for investment 5,775 — Proceeds from sale of Farmer Mac Guaranteed Securities 60,192 — Net cash used in investing activities ( 633,852 ) ( 282,430 ) Cash flows from financing activities: Proceeds from issuance of discount notes 26,245,284 22,223,928 Proceeds from issuance of medium-term notes 3,293,703 3,139,016 Proceeds from issuance of debt securities of consolidated trusts 283,462 222,188 Payments to redeem discount notes ( 25,724,358 ) ( 21,840,244 ) Payments to redeem medium-term notes ( 3,607,788 ) ( 3,531,650 ) Payments to third parties on debt securities of consolidated trusts ( 63,886 ) ( 57,763 ) Proceeds from common stock issuance 131 105 Tax payments related to share-based awards ( 3,906 ) ( 2,340 ) Dividends paid on common and preferred stock ( 44,002 ) ( 37,385 ) Net cash provided by financing activities 378,640 115,855 Net change in cash and cash equivalents 34,254 13,088 Cash and cash equivalents at beginning of period 888,707 861,002 Cash and cash equivalents at end of period $ 922,961 $ 874,090 Non-cash activity: Loans securitized as Farmer Mac Guaranteed Securities 85,114 4,174 Loans held for investment transferred to consolidated trusts 305,559 281,027 The accompanying notes are an integral part of these consolidated financial statements. 7 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, 2023 consolidated balance sheet presented in this report has been derived from Farmer Mac's audited 2023 consolidated financial statements. Management believes that the disclosures are adequate to present fairly the consolidated financial statements as of the dates and for the periods presented. These interim unaudited consolidated financial statements should be read in conjunction with the 2023 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, 2023, as filed with the SEC on February 23, 2024. 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 six months ended June 30, 2024. 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. 8 Table 1.1 Consolidation of Variable Interest Entities As of June 30, 2024 Agricultural Finance Treasury Total (in thousands) On-Balance Sheet: Consolidated VIEs: Loans held for investment in consolidated trusts, at amortized cost $ 1,761,355 $ — $ 1,761,355 Debt securities of consolidated trusts held by third parties (1)(2) 1,662,549 — 1,662,549 Unconsolidated VIEs: Farmer Mac Guaranteed Securities: Carrying value 58,292 — 58,292 Maximum exposure to loss (3) 58,015 — 58,015 Investment securities: Carrying value (4) — 3,880,960 3,880,960 Maximum exposure to loss (3)(4) — 4,095,777 4,095,777 Off-Balance Sheet: Unconsolidated VIEs: Farmer Mac Guaranteed Securities: Maximum exposure to loss (3)(5) 436,822 — 436,822 (1) Includes borrower remittances of $ 5.9 million. The borrower remittances had not been passed through to third-party investors as of June 30, 2024. (2) Includes $ 104.6 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. Consolidation of Variable Interest Entities As of December 31, 2023 Agricultural Finance Treasury Total (in thousands) On-Balance Sheet: Consolidated VIEs: Loans held for investment in consolidated trusts, at amortized cost $ 1,432,261 $ — $ 1,432,261 Debt securities of consolidated trusts held by third parties (1)(2) 1,351,069 — 1,351,069 Unconsolidated VIEs: Farmer Mac Guaranteed Securities: Carrying value 46,343 — 46,343 Maximum exposure to loss (3) 45,952 — 45,952 Investment securities: Carrying value (4) — 3,676,555 3,676,555 Maximum exposure to loss (3)(4) — 3,862,006 3,862,006 Off-Balance Sheet: Unconsolidated VIEs: Farmer Mac Guaranteed Securities: Maximum exposure to loss (3)(5) 452,602 — 452,602 (1) Includes borrower remittances of $ 6.0 million. The borrower remittances had not been passed through to third-party investors as of December 31, 2023. (2) Includes $ 87.1 million in unamortized discount related to a structured securitization transaction. (3) Farmer Mac uses unpaid principal balance and outstanding face amount of investment securities to represent maximum exposure to loss. 9 (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. (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 unit awards. The following schedule reconciles basic and diluted EPS for the three and six months ended June 30, 2024 and 2023: Table 1.2 For the Three Months Ended June 30, 2024 June 30, 2023 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 $ 40,313 10,879 $ 3.71 $ 40,421 10,833 $ 3.73 Effect of dilutive securities (1) SARs and restricted stock units — 77 ( 0.03 ) — 83 ( 0.03 ) Diluted EPS $ 40,313 10,956 $ 3.68 $ 40,421 10,916 $ 3.70 (1) For the three months ended June 30, 2024 and 2023, SARs and restricted stock units of 43,263 and 34,500 respectively, were outstanding but not included in the computation of diluted earnings per share of common stock because they were anti-dilutive. For the three months ended June 30, 2024 and 2023, contingent shares of unvested restricted stock units of 29,918 and 32,282 respectively, were outstanding but not included in the computation of diluted earnings per share of common stock because performance conditions had not yet been met. For the Six Months Ended June 30, 2024 June 30, 2023 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 $ 87,268 10,863 $ 8.04 $ 80,665 10,817 $ 7.46 Effect of dilutive securities (1) SARs and restricted stock units — 103 ( 0.08 ) — 100 ( 0.07 ) Diluted EPS $ 87,268 10,966 $ 7.96 $ 80,665 10,917 $ 7.39 (1) For the six months ended June 30, 2024 and 2023, SARs and restricted stock units of 46,317 and 48,605 respectively, were outstanding but not included in the computation of diluted earnings per share of common stock because they were anti-dilutive. For the six months ended June 30, 2024 and 2023, contingent shares of unvested restricted stock units of 29,918 and 32,282 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. 10 The following table presents the changes in accumulated other comprehensive income ("AOCI"), net of tax, by component for the three and six months ended June 30, 2024 and 2023. Table 1.3 As of June 30, 2024 As of June 30, 2023 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 $ ( 36,886 ) $ ( 9,224 ) $ 41,992 $ ( 4,118 ) $ ( 115,041 ) $ 15,739 $ 39,440 $ ( 59,862 ) Other comprehensive (loss)/income before reclassifications ( 3,342 ) — 3,162 ( 180 ) 18,438 — 11,352 29,790 Amounts reclassified from AOCI ( 834 ) 252 ( 4,261 ) ( 4,843 ) ( 4 ) ( 253 ) ( 4,022 ) ( 4,279 ) Net comprehensive (loss)/income ( 4,176 ) 252 ( 1,099 ) ( 5,023 ) 18,434 ( 253 ) 7,330 25,511 Ending Balance $ ( 41,062 ) $ ( 8,972 ) $ 40,893 $ ( 9,141 ) $ ( 96,607 ) $ 15,486 $ 46,770 $ ( 34,351 ) For the Six Months Ended: Beginning Balance $ ( 68,447 ) $ ( 8,724 ) $ 37,026 $ ( 40,145 ) $ ( 115,561 ) $ 16,357 $ 48,361 $ ( 50,843 ) Other comprehensive income before reclassifications 28,223 — 12,418 40,641 18,963 — 5,900 24,863 Amounts reclassified from AOCI ( 838 ) ( 248 ) ( 8,551 ) ( 9,637 ) ( 9 ) ( 871 ) ( 7,491 ) ( 8,371 ) Net comprehensive income/(loss) 27,385 ( 248 ) 3,867 31,004 18,954 ( 871 ) ( 1,591 ) 16,492 Ending Balance $ ( 41,062 ) $ ( 8,972 ) $ 40,893 $ ( 9,141 ) $ ( 96,607 ) $ 15,486 $ 46,770 $ ( 34,351 ) 11 The following table presents other comprehensive income activity, the impact on net income of amounts reclassified from each component of AOCI, and the related tax impact for the three and six months ended June 30, 2024 and 2023: Table 1.4 For the Three Months Ended June 30, 2024 June 30, 2023 Before Tax Provision (Benefit) After Tax Before Tax Provision (Benefit) After Tax (in thousands) Other comprehensive income: Available-for-sale-securities: Unrealized holding (losses)/gains on available-for-sale securities $ ( 4,231 ) $ ( 889 ) $ ( 3,342 ) $ 23,339 $ 4,901 $ 18,438 Less reclassification adjustments included in: Gains on sale of available-for-sale investment securities (1) ( 1,052 ) ( 221 ) ( 831 ) — — — Other income (2) ( 4 ) ( 1 ) ( 3 ) ( 5 ) ( 1 ) ( 4 ) Total $ ( 5,287 ) $ ( 1,111 ) $ ( 4,176 ) $ 23,334 $ 4,900 $ 18,434 Held-to-maturity securities: Less reclassification adjustments included in: Net interest income (3) $ 320 $ 68 $ 252 $ ( 321 ) $ ( 68 ) $ ( 253 ) Total $ 320 $ 68 $ 252 $ ( 321 ) $ ( 68 ) $ ( 253 ) Cash flow hedges Unrealized gains on cash flow hedges $ 4,001 $ 839 $ 3,162 $ 14,370 $ 3,018 $ 11,352 Less reclassification adjustments included in: Net interest income (4) ( 5,393 ) ( 1,132 ) ( 4,261 ) ( 5,091 ) ( 1,069 ) ( 4,022 ) Total $ ( 1,392 ) $ ( 293 ) $ ( 1,099 ) $ 9,279 $ 1,949 $ 7,330 Other comprehensive (loss)/income $ ( 6,359 ) $ ( 1,336 ) $ ( 5,023 ) $ 32,292 $ 6,781 $ 25,511 (1) Represents unrealized gains and losses on sales of available-for-sale securities. (2) Represents amortization of deferred gains related to certain available-for-sale USDA Securities and Farmer Mac Guaranteed USDA Securities. (3) Relates to the amortization of unrealized gains or losses prior to the reclassification of these securities from available-for-sale to held-to-maturity. The amortization of unrealized gains or losses reported in AOCI for held-to-maturity securities will be offset by the amortization of the premium or discount created from the transfer into held-to-maturity securities, which occurred at fair value. These unrealized gains or losses will be recorded over the remaining life of the security with no impact on future net income. (4) Relates to the recognition of unrealized gains and losses on cash flow hedges recorded in AOCI. 12 For the Six Months Ended June 30, 2024 June 30, 2023 Before Tax Provision (Benefit) After Tax Before Tax Provision (Benefit) After Tax (in thousands) Other comprehensive income: Available-for-sale-securities: Unrealized holding gains on available-for-sale securities $ 35,726 $ 7,503 $ 28,223 $ 24,003 $ 5,040 $ 18,963 Less reclassification adjustments included in: Gains on sale of available-for-sale investment securities (1) ( 1,052 ) ( 221 ) ( 831 ) — — — Other income (2) ( 9 ) ( 2 ) ( 7 ) ( 11 ) ( 2 ) ( 9 ) Total $ 34,665 $ 7,280 $ 27,385 $ 23,992 $ 5,038 $ 18,954 Held-to-maturity securities: Less reclassification adjustments included in: Net interest income (3) $ ( 314 ) $ ( 66 ) $ ( 248 ) $ ( 1,103 ) $ ( 232 ) $ ( 871 ) Total $ ( 314 ) $ ( 66 ) $ ( 248 ) $ ( 1,103 ) $ ( 232 ) $ ( 871 ) Cash flow hedges Unrealized gains on cash flow hedges $ 15,719 $ 3,301 $ 12,418 $ 7,469 $ 1,569 $ 5,900 Less reclassification adjustments included in: Net interest income (4) ( 10,825 ) ( 2,274 ) ( 8,551 ) ( 9,482 ) ( 1,991 ) ( 7,491 ) Total $ 4,894 $ 1,027 $ 3,867 $ ( 2,013 ) $ ( 422 ) $ ( 1,591 ) Other comprehensive income $ 39,245 $ 8,241 $ 31,004 $ 20,876 $ 4,384 $ 16,492 (1) Represents unrealized gains and losses on sales of available-for-sale securities. (2) Represents amortization of deferred gains related to certain available-for-sale USDA Securities and Farmer Mac Guaranteed USDA Securities. (3) Relates to the amortization of unrealized gains or losses prior to the reclassification of these securities from available-for-sale to held-to-maturity. The amortization of unrealized gains or losses reported in AOCI for held-to-maturity securities will be offset by the amortization of the premium or discount created from the transfer into held-to-maturity securities, which occurred at fair value. These unrealized gains or losses will be recorded over the remaining life of the security with no impact on future net income. (4) Relates to the recognition of unrealized gains and losses on cash flow hedges recorded in AOCI. 13 (c) New Accounting Standards Recently Adopted Accounting Guidance Standard Description Date of Adoption Effect on Consolidated Financial Statements ASU 2023-02 , Investments - Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Tax Credit Structures Using the Proportional Amortization Method The amendments in this Update permit an entity to elect to account for their tax equity investments using the proportional amortization method if certain conditions are met, regardless of the tax credit program from which the income tax credits are received. January 1, 2024 The adoption of this Update did not have a material effect on Farmer Mac's financial position, results of operations, or cash flows. Recently Issued Accounting Guidance, Not Yet Adopted Within Our Consolidated Financial Statements Standard Description Effect on Consolidated Financial Statements ASU 2023-07 , Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures The amendments in this Update require disclosures, on an annual and interim basis, of significant segment expenses that are regularly provided to the chief operating decision maker ("CODM"), as well as the aggregate amount of other segment items included in the reported measure of segment profit or loss. This Update also requires that a public entity disclose the title and position of the CODM and an explanation of how the CODM uses the reported measure(s) of segment profit or loss. Public entities will be required to provide all annual disclosures currently required by Topic 280 in interim periods. ASU 2023-07 is effective for fiscal years beginning after December 15, 2023, and interim periods within fiscal years beginning after December 15, 2024. The amendments should be applied retrospectively. Early adoption is permitted. Farmer Mac is still assessing the effect on our annual consolidated financial statement disclosures, however, adoption is not expected to have a material impact on Farmer Mac's financial position, results of operations, or cash flows. ASU 2023-09 , Income Taxes (Topic 740): Improvements to Income Tax Disclosures The Update provides guidance on improvements to annual income tax disclosures by requiring (1) consistent categories and greater disaggregation of information in the rate reconciliation and (2) income taxes paid disaggregated by jurisdiction. Additionally, public entities must provide a separate disclosure for any reconciling item that meets a quantitative threshold. ASU 2023-09 is effective for annual periods beginning after December 15, 2024. The amendments should be applied on a prospective basis. Early adoption is permitted. Farmer Mac is still assessing the impact of the new accounting standard but does not expect that adoption of the new guidance will have a material impact on Farmer Mac's financial position, results of operations, or cash flows. (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. 14 2. INVESTMENT SECURITIES The following tables set forth information about Farmer Mac's available-for-sale and held-to-maturity investment securities as of June 30, 2024 and December 31, 2023: Table 2.1 As of June 30, 2024 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 $ ( 25 ) $ — $ ( 197 ) $ 19,478 Floating rate Government/GSE guaranteed mortgage-backed securities 2,262,092 29 2,262,121 — 3,037 ( 20,258 ) 2,244,900 Fixed rate GSE guaranteed mortgage-backed securities 2,111,417 ( 58,674 ) 2,052,743 — 2,584 ( 141,565 ) 1,913,762 Floating rate U.S. Treasuries 50,000 ( 4 ) 49,996 — — ( 6 ) 49,990 Fixed rate U.S. Treasuries 1,040,627 ( 15,155 ) 1,025,472 — 167 ( 5,054 ) 1,020,585 Total available-for-sale 5,483,836 ( 73,804 ) 5,410,032 ( 25 ) 5,788 ( 167,080 ) 5,248,715 Held-to-maturity: Floating rate Government/GSE guaranteed mortgage-backed securities (3) 9,270 — 9,270 — 226 — 9,496 Total held-to-maturity $ 9,270 $ — $ 9,270 $ — $ 226 $ — $ 9,496 (1) Amounts presented exclude $ 19.4 million of accrued interest receivable on investment securities as of June 30, 2024. (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 6.4 % as of June 30, 2024. As of December 31, 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 ) $ — $ ( 591 ) $ 19,082 Floating rate Government/GSE guaranteed mortgage-backed securities 2,454,009 ( 1,138 ) 2,452,871 — 1,212 ( 29,649 ) 2,424,434 Fixed rate GSE guaranteed mortgage-backed securities 1,727,669 ( 46,788 ) 1,680,881 — 6,558 ( 117,824 ) 1,569,615 Floating rate U.S. Treasuries 50,000 ( 17 ) 49,983 — — ( 15 ) 49,968 Fixed rate U.S. Treasuries 869,585 ( 12,885 ) 856,700 — 2,074 ( 2,942 ) 855,832 Total available-for-sale 5,120,963 ( 60,828 ) 5,060,135 ( 27 ) 9,844 ( 151,021 ) 4,918,931 Held-to-maturity: Floating rate Government/GSE guaranteed mortgage-backed securities (3) 53,756 — 53,756 — 1,745 — 55,501 Total held-to-maturity $ 53,756 $ — $ 53,756 $ — $ 1,745 $ — $ 55,501 (1) Amounts presented exclude $ 15.9 million of accrued interest receivable on investment securities as of December 31, 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 6.7 % as of December 31, 2023. During the three and six months ended June 30, 2024, Farmer Mac sold floating rate government/GSE guaranteed mortgage-backed securities for $ 115.2 million from its available-for-sale investment portfolio, resulting in a gain of $ 1.1 million. These sales were done to rebalance the liquidity investment portfolio 15 given the lower level of business volume activity while demonstrating that the portfolio provides strong contingent liquidity. Farmer Mac did no t sell any securities from its available-for-sale investment portfolio during the three and six months ended June 30, 2023. As of June 30, 2024 and December 31, 2023, unrealized losses on available-for-sale investment securities were as follows: Table 2.2 As of June 30, 2024 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 $ — $ — $ 19,478 $ ( 197 ) Floating rate Government/GSE guaranteed mortgage-backed securities 334,002 ( 856 ) 1,205,757 ( 19,402 ) Fixed rate Government/GSE guaranteed mortgage-backed securities 379,695 ( 2,425 ) 1,251,770 ( 139,140 ) Floating rate U.S. Treasuries 49,990 ( 6 ) — — Fixed rate U.S. Treasuries 699,584 ( 3,633 ) 103,468 ( 1,421 ) Total $ 1,463,271 $ ( 6,920 ) $ 2,580,473 $ ( 160,160 ) Number of securities in loss position 97 167 As of December 31, 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 $ — $ — $ 19,082 $ ( 591 ) Floating rate Government/GSE guaranteed mortgage-backed securities 568,759 ( 4,395 ) 1,449,122 ( 25,254 ) Fixed rate Government/GSE guaranteed mortgage-backed securities 384,305 ( 4,262 ) 905,759 ( 113,562 ) Floating rate U.S. Treasuries 49,969 ( 15 ) — — Fixed rate U.S. Treasuries 140,435 ( 606 ) 237,192 ( 2,336 ) Total $ 1,143,468 $ ( 9,278 ) $ 2,611,155 $ ( 141,743 ) Number of securities in loss position 91 162 The unrealized losses presented above are principally due to a general widening of market spreads and changes in the levels of interest rates from the dates of acquisition to June 30, 2024 and December 31, 2023, as applicable. The resulting decrease in fair values reflects an increase in the perceived risk by the financial markets related to those securities. As of both June 30, 2024 and December 31, 2023, 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 June 30, 2024 that is, on average, approximately 94.2 % of their amortized cost basis. Farmer Mac believes that all of these 16 unrealized losses are recoverable within a reasonable period of time by way of maturity, changes in credit spread, or 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 June 30, 2024 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 June 30, 2024 Available-for-Sale Securities Amortized Cost Fair Value Weighted- Average Yield (dollars in thousands) Due within one year $ 474,409 $ 473,263 2.75 % Due after one year through five years 1,817,099 1,789,557 4.35 % Due after five years through ten years 2,373,772 2,256,442 4.23 % Due after ten years 744,752 729,453 5.61 % Total $ 5,410,032 $ 5,248,715 4.33 % 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 June 30, 2024 and December 31, 2023: Table 3.1 As of June 30, 2024 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 $ 3,908,405 $ ( 28,187 ) $ 3,880,218 $ ( 133 ) $ 8,851 $ ( 31,300 ) $ 3,857,636 Farmer Mac Guaranteed USDA Securities 48,953 30 48,983 — 110 ( 940 ) 48,153 Total Farmer Mac Guaranteed Securities 3,957,358 ( 28,157 ) 3,929,201 ( 133 ) 8,961 ( 32,240 ) 3,905,789 USDA Securities 2,309,465 21,070 2,330,535 — 255 ( 335,230 ) 1,995,560 Total held-to-maturity $ 6,266,823 $ ( 7,087 ) $ 6,259,736 $ ( 133 ) $ 9,216 $ ( 367,470 ) $ 5,901,349 Available-for-sale: AgVantage $ 5,746,236 $ — $ 5,746,236 $ ( 261 ) $ 5,441 $ ( 361,575 ) $ 5,389,841 Farmer Mac Guaranteed Securities (3) — 9,062 9,062 — 248 — 9,310 Total available-for-sale $ 5,746,236 $ 9,062 $ 5,755,298 $ ( 261 ) $ 5,689 $ ( 361,575 ) $ 5,399,151 Trading: USDA Securities (4) $ 1,032 $ 52 $ 1,084 $ — $ — $ ( 58 ) $ 1,026 (1) Amounts presented exclude $ 53.6 million, $ 55.0 million, and $ 28,690 of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of June 30, 2024. (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 $ 9.3 million of an interest-only security with a notional amount of $ 232.4 million. (4) The trading USDA securities had a weighted average yield of 5.57 % as of June 30, 2024. 17 As of December 31, 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 $ 4,206,324 $ ( 29,622 ) $ 4,176,702 $ ( 209 ) $ 4,676 $ ( 39,451 ) $ 4,141,718 Farmer Mac Guaranteed USDA Securities 36,543 33 36,576 — 107 ( 806 ) 35,877 Total Farmer Mac Guaranteed Securities 4,242,867 ( 29,589 ) 4,213,278 ( 209 ) 4,783 ( 40,257 ) 4,177,595 USDA Securities 2,331,093 23,078 2,354,171 — 417 ( 319,783 ) 2,034,805 Total held-to-maturity $ 6,573,960 $ ( 6,511 ) $ 6,567,449 $ ( 209 ) $ 5,200 $ ( 360,040 ) $ 6,212,400 Available-for-sale: AgVantage $ 5,816,024 $ — $ 5,816,024 $ ( 317 ) $ 16,416 $ ( 309,411 ) $ 5,522,712 Farmer Mac Guaranteed Securities (3) — 9,409 9,409 — 358 — 9,767 Total available-for-sale $ 5,816,024 $ 9,409 $ 5,825,433 $ ( 317 ) $ 16,774 $ ( 309,411 ) $ 5,532,479 Trading: USDA Securities (4) $ 1,236 $ 64 $ 1,300 $ — $ — $ ( 59 ) $ 1,241 (1) Amounts presented exclude $ 47.2 million, $ 67.4 million, and $ 42,000 of accrued interest receivable on available-for-sale, held-to-maturity, and trading securities, respectively, as of December 31, 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 $ 9.8 million of an interest-only security with a notional amount of $ 238.4 million. (4) The trading USDA securities had a weighted average yield of 5.46 % as of December 31, 2023. 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 due to unrealized losses of $ 31.9 million. The accumulated unrealized losses were recorded in accumulated other comprehensive income in the amount of $ 31.9 million. 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 June 30, 2024 and December 31, 2023, unrealized losses on held-to-maturity and available-for-sale on-balance sheet Farmer Mac Guaranteed Securities and USDA Securities were as follows: 18 Table 3.2 As of June 30, 2024 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 $ 2,051,042 $ ( 3,053 ) $ 596,804 $ ( 28,247 ) Farmer Mac Guaranteed USDA Securities — — 8,031 ( 940 ) USDA Securities 5,896 ( 171 ) 1,983,396 ( 335,059 ) Total held-to-maturity $ 2,056,938 $ ( 3,224 ) $ 2,588,231 $ ( 364,246 ) Available-for-sale: AgVantage $ 861,323 $ ( 8,677 ) $ 4,153,339 $ ( 352,898 ) Total available-for-sale $ 861,323 $ ( 8,677 ) $ 4,153,339 $ ( 352,898 ) As of December 31, 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 $ 2,070,770 $ ( 6,705 ) $ 725,347 $ ( 32,746 ) Farmer Mac Guaranteed USDA Securities — — 8,393 ( 806 ) USDA Securities — — 2,023,801 ( 319,783 ) Total held-to-maturity $ 2,070,770 $ ( 6,705 ) $ 2,757,541 $ ( 353,335 ) Available-for-sale: AgVantage $ 508,182 $ ( 5,716 ) $ 4,043,431 $ ( 303,695 ) Total available-for-sale $ 508,182 $ ( 5,716 ) $ 4,043,431 $ ( 303,695 ) The unrealized losses presented above are principally due to changes in interest rates from the date of acquisition to June 30, 2024 and December 31, 2023, 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 71 and 68 available-for-sale securities as of June 30, 2024 and December 31, 2023, respectively. There were 54 and 53 held-to-maturity AgVantage securities with an unrealized loss as of June 30, 2024 and December 31, 2023, respectively. As of both June 30, 2024 and December 31, 2023, 62 available-for-sale AgVantage securities had been in a loss position for more than 12 months. As of June 30, 2024 and December 31, 2023, there were 19 and 22 held-to-maturity AgVantage securities, respectively, in a loss position for more than 12 months. 19 During the three and six months ended June 30, 2024 and 2023 Farmer Mac had no sales of AgVantage Farmer Mac Guaranteed Securities, USDA Farmer Mac Guaranteed Securities or USDA Trading Securities and, therefore, Farmer Mac realized no gains or losses. The amortized cost, fair value, and weighted-average yield of available-for-sale and held-to-maturity Farmer Mac Guaranteed Securities and USDA Securities by remaining contractual maturity as of June 30, 2024 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 June 30, 2024 Available-for-Sale Securities Amortized Cost (1) Fair Value Weighted- Average Yield (dollars in thousands) Due within one year $ 586,160 $ 578,550 3.05 % Due after one year through five years 3,075,493 2,956,677 3.82 % Due after five years through ten years 1,150,000 1,053,259 3.63 % Due after ten years 943,645 810,665 3.55 % Total $ 5,755,298 $ 5,399,151 3.65 % (1) Amounts presented exclude $ 53.6 million of accrued interest receivable. As of June 30, 2024 Held-to-Maturity Securities Amortized Cost (1) Fair Value Weighted- Average Yield (dollars in thousands) Due within one year $ 1,912,322 $ 1,910,469 5.81 % Due after one year through five years 1,412,798 1,377,921 4.38 % Due after five years through ten years 288,510 249,002 3.67 % Due after ten years 2,646,106 2,363,957 4.40 % Total $ 6,259,736 $ 5,901,349 4.83 % (1) Amounts presented exclude $ 55.0 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. 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 $ 17.8 million and $ 16.4 million of accrued interest receivable and $ 5.8 million and $ 6.5 million of accrued interest payable on uncleared swaps as of June 30, 2024 and December 31, 2023, 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 June 30, 2024 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 $ 8,694,685 $ 728 $ ( 21,529 ) 5.54 % 3.21 % 1.67 Pay fixed non-callable 9,259,875 31,027 ( 237 ) 2.58 % 5.41 % 9.30 Receive fixed callable 4,229,327 1,257 ( 98,425 ) 5.35 % 3.61 % 2.52 Cash flow hedges: Interest rate swaps: Pay fixed non-callable 540,000 21,562 ( 8 ) 1.92 % 5.79 % 3.93 No hedge designation: Interest rate swaps: Pay fixed non-callable 157,933 1,115 ( 4 ) 2.92 % 5.59 % 3.91 Receive fixed non-callable 1,974,899 117 ( 1 ) 5.36 % 5.12 % 0.29 Basis swaps 685,384 38 ( 534 ) 5.52 % 5.49 % 4.15 Treasury futures 26,900 163 ( 4 ) 110.58 Netting adjustments (1) — ( 2,321 ) 2,321 Total financial derivatives $ 25,569,003 $ 53,686 $ ( 118,421 ) (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. 21 As of December 31, 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 $ 9,776,685 $ 2,350 $ ( 20,390 ) 5.57 % 2.94 % 1.78 Pay fixed non-callable 9,174,253 7,767 ( 1,081 ) 2.50 % 5.47 % 9.57 Receive fixed callable 3,879,827 7,374 ( 95,984 ) 5.40 % 3.40 % 2.48 Cash flow hedges: Interest rate swaps: Pay fixed non-callable 558,000 20,234 ( 43 ) 1.94 % 5.82 % 4.30 No hedge designation: Interest rate swaps: Pay fixed non-callable 160,623 676 ( 29 ) 2.92 % 5.64 % 4.34 Receive fixed non-callable 1,358,396 263 ( 3 ) 5.44 % 4.87 % 0.64 Basis swaps 850,384 39 ( 746 ) 5.52 % 5.48 % 3.83 Treasury futures 21,300 11 ( 91 ) 112.51 Netting adjustments (1) — ( 1,236 ) 1,236 Total financial derivatives $ 25,779,468 $ 37,478 $ ( 117,131 ) (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 June 30, 2024, Farmer Mac expects to reclassify $ 14.3 million after-tax from accumulated other comprehensive income to earnings over the next twelve months related to cash flow hedges. This amount could differ from amounts actually recognized due to changes in interest rates, hedge de-designations, and the addition of other hedges after June 30, 2024. During the three and six months ended June 30, 2024 and 2023, 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. 22 The following tables summarize the net income/(expense) recognized in the consolidated statements of operations related to derivatives for the three and six months ended June 30, 2024 and 2023: Table 4.2 For the Three Months Ended June 30, 2024 Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives Net Interest Income Non-Interest Income Total Interest Income Investments and Cash Equivalents Interest Income Farmer Mac Guaranteed Securities and USDA Securities Interest Income Loans Total Interest Expense Losses on financial derivatives (in thousands) Total amounts presented in the consolidated statement of operations $ 84,538 $ 166,063 $ 153,105 $ ( 316,366 ) $ ( 1,799 ) $ 85,541 Income/(expense) related to interest settlements on fair value hedging relationships: Recognized on derivatives 10,408 39,134 17,827 ( 76,659 ) — ( 9,290 ) Recognized on hedged items 10,309 52,651 16,705 ( 107,290 ) — ( 27,625 ) Premium/discount amortization recognized on hedged items 487 — — ( 721 ) — ( 234 ) Income/(expense) related to interest settlements on fair value hedging relationships $ 21,204 $ 91,785 $ 34,532 $ ( 184,670 ) $ — $ ( 37,149 ) Gains/(losses) on fair value hedging relationships: Recognized on derivatives $ 3,460 $ 6,926 $ 13,188 $ 30,872 $ — $ 54,446 Recognized on hedged items ( 3,361 ) ( 6,508 ) ( 12,112 ) ( 29,861 ) — ( 51,842 ) Gains/(losses) on fair value hedging relationships $ 99 $ 418 $ 1,076 $ 1,011 $ — $ 2,604 Expense related to interest settlements on cash flow hedging relationships: Interest settlements reclassified from AOCI into net income on derivatives $ — $ — $ — $ 5,393 $ — $ 5,393 Recognized on hedged items — — — ( 8,014 ) — ( 8,014 ) Discount amortization recognized on hedged items — — — ( 14 ) — ( 14 ) Expense recognized on cash flow hedges $ — $ — $ — $ ( 2,635 ) $ — $ ( 2,635 ) Losses on financial derivatives not designated in hedging relationships: Losses on interest rate swaps $ — $ — $ — $ — $ ( 26 ) $ ( 26 ) Interest expense on interest rate swaps — — — — ( 486 ) ( 486 ) Treasury futures — — — — ( 1,287 ) ( 1,287 ) Losses on financial derivatives not designated in hedge relationships $ — $ — $ — $ — $ ( 1,799 ) $ ( 1,799 ) 23 For the Three Months Ended June 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: $ 69,779 $ 144,761 $ 129,292 $ ( 265,155 ) $ 1,693 $ 80,370 Income/(expense) related to interest settlements on fair value hedging relationships: Recognized on derivatives 8,452 34,999 15,754 ( 88,228 ) — ( 29,023 ) Recognized on hedged items 7,898 45,722 15,848 ( 80,552 ) — ( 11,084 ) Premium/discount amortization recognized on hedged items 508 — — ( 713 ) — ( 205 ) Income/(expense) related to interest settlements on fair value hedging relationships $ 16,858 $ 80,721 $ 31,602 $ ( 169,493 ) $ — $ ( 40,312 ) (Losses)/gains on fair value hedging relationships: Recognized on derivatives $ 30,824 $ 100,862 $ 46,762 $ ( 81,098 ) $ — $ 97,350 Recognized on hedged items ( 31,969 ) ( 101,921 ) ( 49,381 ) 81,020 — ( 102,251 ) (Losses)/gains on fair value hedging relationships $ ( 1,145 ) $ ( 1,059 ) $ ( 2,619 ) $ ( 78 ) $ — $ ( 4,901 ) Expense related to interest settlements on cash flow hedging relationships: Interest settlements reclassified from AOCI into net income on derivatives $ — $ — $ — $ 5,091 $ — $ 5,091 Recognized on hedged items — — — ( 7,848 ) — ( 7,848 ) Discount amortization recognized on hedged items — — — ( 14 ) — ( 14 ) Expense recognized on cash flow hedges $ — $ — $ — $ ( 2,771 ) $ — $ ( 2,771 ) Gains on financial derivatives not designated in hedge relationships: Gains on interest rate swaps $ — $ — $ — $ — $ 2,458 $ 2,458 Interest expense on interest rate swaps — — — — ( 1,568 ) ( 1,568 ) Treasury futures — — — — 803 803 Gains on financial derivatives not designated in hedge relationships $ — $ — $ — $ — $ 1,693 $ 1,693 24 For the Six Months Ended June 30, 2024 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 $ 169,462 $ 332,876 $ 297,685 $ ( 626,315 ) $ 280 $ 173,988 Income/(expense) related to interest settlements on fair value hedging relationships: Recognized on derivatives 20,705 79,467 35,676 ( 160,210 ) — ( 24,362 ) Recognized on hedged items 20,257 104,356 33,302 ( 213,723 ) — ( 55,808 ) Premium/discount amortization recognized on hedged items 933 — — ( 1,468 ) — ( 535 ) Income/(expense) related to interest settlements on fair value hedging relationships $ 41,895 $ 183,823 $ 68,978 $ ( 375,401 ) $ — $ ( 80,705 ) Gains/(losses) on fair value hedging relationships: Recognized on derivatives $ 31,250 $ 88,512 $ 61,368 $ ( 23,846 ) $ — $ 157,284 Recognized on hedged items ( 30,882 ) ( 87,251 ) ( 59,173 ) 25,628 — ( 151,678 ) Gains/(losses) on fair value hedging relationships $ 368 $ 1,261 $ 2,195 $ 1,782 $ — $ 5,606 Expense related to interest settlements on cash flow hedging relationships: Interest settlements reclassified from AOCI into net income on derivatives $ — $ — $ — $ 10,824 $ — $ 10,824 Recognized on hedged items — — — ( 16,105 ) — ( 16,105 ) Discount amortization recognized on hedged items — — — ( 27 ) — ( 27 ) Expense recognized on cash flow hedges $ — $ — $ — $ ( 5,308 ) $ — $ ( 5,308 ) Gains on financial derivatives not designated in hedging relationships: Gains on interest rate swaps $ — $ — $ — $ — $ 729 $ 729 Interest expense on interest rate swaps — — — — ( 521 ) ( 521 ) Treasury futures — — — — 72 72 Gains on financial derivatives not designated in hedge relationships $ — $ — $ — $ — $ 280 $ 280 25 For the Six Months Ended June 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: $ 129,482 $ 281,298 $ 248,324 $ ( 501,369 ) $ 2,092 $ 159,827 Income/(expense) related to interest settlements on fair value hedging relationships: Recognized on derivatives 15,001 63,909 28,933 ( 165,695 ) — ( 57,852 ) Recognized on hedged items 14,859 87,693 31,056 ( 151,527 ) — ( 17,919 ) Premium/discount amortization recognized on hedged items 776 — — ( 1,404 ) — ( 628 ) Income/(expense) related to interest settlements on fair value hedging relationships $ 30,636 $ 151,602 $ 59,989 $ ( 318,626 ) $ — $ ( 76,399 ) (Losses)/gains on fair value hedging relationships: Recognized on derivatives $ 3,671 $ 7,070 $ ( 9,919 ) $ 41,441 $ — $ 42,263 Recognized on hedged items ( 4,541 ) ( 8,625 ) 7,576 ( 41,679 ) — ( 47,269 ) (Losses)/gains on fair value hedging relationships $ ( 870 ) $ ( 1,555 ) $ ( 2,343 ) $ ( 238 ) $ — $ ( 5,006 ) Expense related to interest settlements on cash flow hedging relationships: Interest settlements reclassified from AOCI into net income on derivatives $ — $ — $ — $ 9,482 $ — $ 9,482 Recognized on hedged items — — — ( 15,038 ) — ( 15,038 ) Discount amortization recognized on hedged items — — — ( 27 ) — ( 27 ) Expense recognized on cash flow hedges $ — $ — $ — $ ( 5,583 ) $ — $ ( 5,583 ) Gains on financial derivatives not designated in hedge relationships: Gains on interest rate swaps $ — $ — $ — $ — $ 2,490 $ 2,490 Interest expense on interest rate swaps — — — — ( 3,193 ) ( 3,193 ) Treasury futures — — — — 2,795 2,795 Gains on financial derivatives not designated in hedge relationships $ — $ — $ — $ — $ 2,092 $ 2,092 The following table shows the carrying amount and associated cumulative basis adjustment related to the application of hedge accounting that is included in the carrying amount of hedged assets and liabilities in fair value hedging relationships as of June 30, 2024 and December 31, 2023: 26 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) June 30, 2024 December 31, 2023 June 30, 2024 December 31, 2023 (in thousands) Investment securities, Available-for-Sale, at fair value $ 1,314,961 $ 1,251,386 $ ( 119,517 ) $ ( 88,635 ) Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value 5,365,415 5,497,948 ( 344,687 ) ( 257,436 ) Loans held for investment, at amortized cost 1,661,526 1,699,361 ( 364,765 ) ( 305,592 ) Notes Payable (1) ( 12,594,579 ) ( 13,350,111 ) 276,046 250,418 (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 June 30, 2024 and December 31, 2023: Table 4.4 June 30, 2024 Gross Amount Recognized Gross Amounts offset in the Consolidated Balance Sheet Net Amount Presented in the Consolidated Balance Sheet (1) Gross Amounts Not Offset in the Consolidated Balance Sheet Netting Adjustments Financial instruments pledged Cash Collateral (2) Net Amount (3) (in thousands) Assets: Uncleared derivatives $ 22,257 $ — $ 22,257 $ ( 22,094 ) $ — $ — $ 163 Cleared derivatives 32,676 ( 2,321 ) 30,355 — — — 30,355 Total $ 54,933 $ ( 2,321 ) $ 52,612 $ ( 22,094 ) $ — $ — $ 30,518 Liabilities: Uncleared derivatives $ ( 97,499 ) $ — $ ( 97,499 ) $ 22,094 $ — $ 67,151 $ ( 8,254 ) Cleared derivatives ( 2,321 ) 2,321 — — — — — Total $ ( 99,820 ) $ 2,321 $ ( 97,499 ) $ 22,094 $ — $ 67,151 $ ( 8,254 ) (1) Amounts presented may not agree to the consolidated balance sheet related to counterparties not subject to master netting agreements. (2) Cash collateral excludes $ 15.8 million of collateral posted and $ 0.0 million of collateral received related to counterparties not subject to master netting agreements. (3) Any over-collateralization at an individual clearing agent and/or counterparty level is not included in the determination of the net amount. As of June 30, 2024, Farmer Mac had additional net exposure of $ 176.8 million due to instances where Farmer Mac's collateral to a counterparty exceeded the net derivative position. 27 December 31, 2023 Gross Amount Recognized Gross Amounts offset in the Consolidated Balance Sheet Net Amount Presented in the Consolidated Balance Sheet (1) Gross Amounts Not Offset in the Consolidated Balance Sheet Netting Adjustments Financial instruments pledged Cash Collateral (2) Net Amount (3) (in thousands) Assets: Uncleared derivatives $ 25,751 $ — $ 25,751 $ ( 25,727 ) $ — $ — $ 24 Cleared derivatives 10,388 ( 1,236 ) 9,152 — — — 9,152 Total $ 36,139 $ ( 1,236 ) $ 34,903 $ ( 25,727 ) $ — $ — $ 9,176 Liabilities: Uncleared derivatives $ ( 100,114 ) $ — $ ( 100,114 ) $ 25,727 $ — $ 69,360 $ ( 5,027 ) Cleared derivatives ( 1,236 ) 1,236 — — — — — Total $ ( 101,350 ) $ 1,236 $ ( 100,114 ) $ 25,727 $ — $ 69,360 $ ( 5,027 ) (1) Amounts presented may not agree to the consolidated balance sheet related to counterparties not subject to master netting agreements. (2) Cash collateral excludes $ 15.2 million of collateral posted and $ 2.0 million of collateral received related to counterparties not subject to master netting agreements. (3) Any over-collateralization at an individual clearing agent and/or counterparty level is not included in the determination of the net amount. As of December 31, 2023, Farmer Mac had additional net exposure of $ 207.2 million due to instances where Farmer Mac's collateral to a counterparty exceeded the net derivative position. Farmer Mac records posted cash as a reduction in the outstanding balance of cash and cash equivalents and an increase in the balance of prepaid expenses and other assets. Any investment securities posted as collateral are included in the investment securities balances on the consolidated balance sheets. If Farmer Mac had breached certain provisions of the derivative contracts as of June 30, 2024 or December 31, 2023, it could have been required to settle its obligations under the agreements, but would not have been required to post additional collateral. As of June 30, 2024 and December 31, 2023, 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 $ 25.6 billion notional amount of interest rate swaps outstanding as of June 30, 2024, $ 20.3 billion were cleared through the swap clearinghouse, the Chicago Mercantile Exchange ("CME"). Of Farmer Mac's $ 25.8 billion notional amount of interest rate swaps outstanding as of December 31, 2023, $ 20.5 billion were cleared through the CME. 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 June 30, 2024 and December 31, 2023, Farmer Mac had no loans held for sale. During second quarter 2024, Farmer Mac sold a portion of a Corporate AgFinance agricultural storage and processing loan at a loss of $ 1.1 million to reduce the overall exposure to the borrower. Farmer Mac sold 28 $ 7.0 million of the overall $ 14.4 million loan leaving a remaining exposure of $ 7.4 million as of June 30, 2024. 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. The following table includes loans held for investment and displays the composition of the loan balances as of June 30, 2024 and December 31, 2023: Table 5.1 As of June 30, 2024 As of December 31, 2023 Unsecuritized In Consolidated Trusts Total Unsecuritized In Consolidated Trusts Total (in thousands) Agricultural Finance loans Farm & Ranch $ 5,138,819 $ 1,761,355 $ 6,900,174 $ 5,133,450 $ 1,432,261 $ 6,565,711 Corporate AgFinance 1,286,167 — 1,286,167 1,259,723 — 1,259,723 Total Agricultural Finance loans 6,424,986 1,761,355 8,186,341 6,393,173 1,432,261 7,825,434 Rural Infrastructure Finance loans 3,979,238 — 3,979,238 3,534,763 — 3,534,763 Total unpaid principal balance (1) 10,404,224 1,761,355 12,165,579 9,927,936 1,432,261 11,360,197 Unamortized premiums, discounts, fair value hedge basis adjustment, and other cost basis adjustments ( 362,571 ) — ( 362,571 ) ( 304,817 ) — ( 304,817 ) Total loans 10,041,653 1,761,355 11,803,008 9,623,119 1,432,261 11,055,380 Allowance for losses ( 15,891 ) ( 609 ) ( 16,500 ) ( 15,588 ) ( 443 ) ( 16,031 ) Total loans, net of allowance $ 10,025,762 $ 1,760,746 $ 11,786,508 $ 9,607,531 $ 1,431,818 $ 11,039,349 (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 June 30, 2024 and December 31, 2023: Table 5.2 June 30, 2024 December 31, 2023 Allowance for Losses Allowance for Losses (in thousands) Loans: Agricultural Finance loans Farm & Ranch $ 4,676 $ 3,936 Corporate AgFinance 4,014 2,948 Total Agricultural Finance loans 8,690 6,884 Rural Infrastructure Finance loans 7,810 9,147 Total $ 16,500 $ 16,031 29 The following is a summary of the changes in the allowance for losses for the three and six months ended June 30, 2024 and 2023: Table 5.3 June 30, 2024 June 30, 2023 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 $ 4,535 $ 2,569 $ 7,104 $ 7,184 $ 3,933 $ 7,039 $ 10,972 $ 4,701 Provision for losses 242 5,387 5,629 626 2 328 330 745 Charge-offs ( 101 ) ( 3,942 ) ( 4,043 ) — — — — — Ending Balance $ 4,676 $ 4,014 $ 8,690 $ 7,810 $ 3,935 $ 7,367 $ 11,302 $ 5,446 For the Six Months Ended Beginning Balance $ 3,936 $ 2,948 $ 6,884 $ 9,147 $ 4,044 $ 2,731 $ 6,775 $ 8,314 Provision for/(release of) losses 841 5,008 5,849 ( 1,337 ) ( 109 ) 4,636 4,527 ( 2,868 ) Charge-offs ( 101 ) ( 3,942 ) ( 4,043 ) — — — — — Ending Balance $ 4,676 $ 4,014 $ 8,690 $ 7,810 $ 3,935 $ 7,367 $ 11,302 $ 5,446 (1) As of June 30, 2024 and 2023, the allowance for losses for Agricultural Finance Farm & Ranch loans includes $ 1.2 million and $ 1.1 million allowance for collateral dependent assets secured by agricultural real estate, respectively. (2) As of June 30, 2024 and 2023, the allowance for losses for Agricultural Finance Corporate AgFinance loans includes $ 0.0 million and $ 4.6 million allowance for collateral dependent assets secured by agricultural real estate, respectively. (3) As of both June 30, 2024 and 2023, the allowance for losses for Rural Infrastructure Finance loans includes no allowance for collateral dependent assets. The $ 0.6 million net provision to the allowance for the Rural Infrastructure Finance portfolio during the quarter ended June 30, 2024 was primarily attributable to renewable energy loans that extended their pre-construction phase, which has higher expected loss assumptions than their operating phase. The $ 5.6 million net provision to the allowance for the Agricultural Finance mortgage loan portfolio during the quarter ended June 30, 2024 was primarily attributable to a permanent planting loan that is in bankruptcy and of which $ 3.9 million was deemed uncollectible. Accordingly, a charge-off in the amount of $ 3.9 million was recorded in connection with that loan. The remaining provision during the quarter was attributable to increased loan volume. The $ 1.3 million net release from the allowance for the Rural Infrastructure Finance portfolio during the six months ended June 30, 2024 was primarily attributable to a single telecommunications loan that completed a restructuring during first quarter, which resulted in an improved collateral position and a paydown of approximately 15 % of its previously unpaid principal balance. The $ 5.8 million net provision to the allowance for the Agricultural Finance mortgage loan portfolio during the six months ended June 30, 2024 was primarily attributable to the permanent planting loan mentioned above and increased loan volume. The $ 0.7 million net provision to the allowance for the Rural Infrastructure Finance portfolio during the quarter ended June 30, 2023 was primarily attributable to increased telecommunications loan volume. The $ 0.3 million net provision to the allowance for the Agricultural Finance mortgage loan portfolio during the quarter ended June 30, 2023 was primarily attributable to increased storage and processing loan volume. The $ 2.9 million net release from the allowance for the Rural Infrastructure Finance portfolio during the 30 six months ended June 30, 2023 was primarily attributable to an updated estimate of expected losses based on newly available loss-given-default industry data. The $ 4.5 million net provision to the allowance for the Agricultural Finance mortgage loan portfolio during the six months ended June 30, 2023 was primarily attributable to declining valuation of a single agricultural storage and processing loan, due to its ongoing bankruptcy proceedings, and an updated estimate of expected losses based on additional availability of loss-given-default industry data. The following table presents the unpaid principal balances by delinquency status of Farmer Mac's loans and non-performing assets as of June 30, 2024 and December 31, 2023: Table 5.4 As of June 30, 2024 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 $ 6,770,778 $ 21,101 $ 6,711 $ 19,767 $ 47,579 $ 81,817 $ 6,900,174 Corporate AgFinance 1,271,132 — — — — 15,035 1,286,167 Total Agricultural Finance loans 8,041,910 21,101 6,711 19,767 47,579 96,852 8,186,341 Rural Infrastructure Finance loans 3,979,238 — — — — — 3,979,238 Total $ 12,021,148 $ 21,101 $ 6,711 $ 19,767 $ 47,579 $ 96,852 $ 12,165,579 (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 (single-class) 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 $ 26.2 million of nonaccrual loans for which there was no associated allowance. During the three and six months ended June 30, 2024, Farmer Mac received $ 1.2 million and $ 1.7 million, in interest on nonaccrual loans, respectively. As of December 31, 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 $ 6,470,205 $ 15,326 $ 3,953 $ 10,991 $ 30,270 $ 65,236 $ 6,565,711 Corporate AgFinance 1,259,723 — — — — — 1,259,723 Total Agricultural Finance loans 7,729,928 15,326 3,953 10,991 30,270 65,236 7,825,434 Rural Infrastructure Finance loans 3,534,763 — — — — — 3,534,763 Total $ 11,264,691 $ 15,326 $ 3,953 $ 10,991 $ 30,270 $ 65,236 $ 11,360,197 (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 (single-class) 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 $ 25.7 million of nonaccrual loans for which there was no associated allowance. During the year ended December 31, 2023, Farmer Mac received $ 2.6 million in interest on nonaccrual loans. 31 Credit Quality Indicators The following tables present credit quality indicators related to Agricultural Finance mortgage loans and Rural Infrastructure Finance loans held as of June 30, 2024 and December 31, 2023, by year of origination: Table 5.5 As of June 30, 2024 Year of Origination: 2024 2023 2022 2021 2020 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Agricultural Finance - Farm & Ranch loans (1) : Internally Assigned Risk Rating: Acceptable $ 492,566 $ 487,709 $ 1,117,947 $ 1,597,313 $ 1,066,209 $ 1,323,782 $ 369,423 $ 6,454,949 Special mention (2) 30,336 97,476 32,482 28,695 14,252 31,330 6,010 240,581 Substandard (3) — 21,686 32,285 20,273 34,754 77,176 18,470 204,644 Total $ 522,902 $ 606,871 $ 1,182,714 $ 1,646,281 $ 1,115,215 $ 1,432,288 $ 393,903 $ 6,900,174 For the Three Months Ended June 30, 2024: Current period charge-offs $ — $ — $ — $ 101 $ — $ — $ — $ 101 For the Six Months Ended June 30, 2024: Current period charge-offs $ — $ — $ — $ 101 $ — $ — $ — $ 101 (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. 32 As of June 30, 2024 Year of Origination: 2024 2023 2022 2021 2020 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Agricultural Finance - Corporate AgFinance (1) : Internally Assigned Risk Rating: Acceptable $ 72,344 $ 158,535 $ 76,550 $ 245,625 $ 95,662 $ 211,201 $ 237,897 $ 1,097,814 Special mention (2) — 44,623 — 14,990 76,367 13,490 23,848 173,318 Substandard (3) — — 7,530 — — — 7,505 15,035 Total $ 72,344 $ 203,158 $ 84,080 $ 260,615 $ 172,029 $ 224,691 $ 269,250 $ 1,286,167 For the Three Months Ended June 30, 2024: Current period charge-offs $ — $ — $ — $ — $ — $ — $ 3,942 $ 3,942 For the Six Months Ended June 30, 2024: Current period charge-offs $ — $ — $ — $ — $ — $ — $ 3,942 $ 3,942 (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 June 30, 2024 Year of Origination: 2024 2023 2022 2021 2020 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Rural Infrastructure Finance loans (1) : Internally Assigned Risk Rating: Acceptable $ 441,378 $ 547,120 $ 649,907 $ 188,592 $ 570,283 $ 1,272,743 $ 274,551 $ 3,944,574 Special mention (2) — — 34,664 — — — — 34,664 Substandard (3) — — — — — — — — Total $ 441,378 $ 547,120 $ 684,571 $ 188,592 $ 570,283 $ 1,272,743 $ 274,551 $ 3,979,238 For the Three Months Ended June 30, 2024: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Six Months Ended June 30, 2024: 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. 33 As of December 31, 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 $ 530,956 $ 1,137,226 $ 1,653,780 $ 1,120,917 $ 323,922 $ 1,068,862 $ 385,766 $ 6,221,429 Special mention (2) 70,524 46,529 27,957 11,591 4,782 21,257 8,777 191,417 Substandard (3) 3,357 23,987 10,164 17,395 28,942 58,606 10,414 152,865 Total $ 604,837 $ 1,207,742 $ 1,691,901 $ 1,149,903 $ 357,646 $ 1,148,725 $ 404,957 $ 6,565,711 For the Three Months Ended June 30, 2023: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Six Months Ended June 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 December 31, 2023 Year of Origination: 2023 2022 2021 2020 2019 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Agricultural Finance - Corporate AgFinance loans (1) : Internally Assigned Risk Rating: Acceptable $ 207,279 $ 97,922 $ 261,992 $ 123,158 $ 99,352 $ 112,947 $ 254,325 $ 1,156,975 Special mention (2) — 14,522 15,408 50,822 20,333 — 1,663 102,748 Substandard (3) — — — — — — — — Total $ 207,279 $ 112,444 $ 277,400 $ 173,980 $ 119,685 $ 112,947 $ 255,988 $ 1,259,723 For the Three Months Ended June 30, 2023: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Six Months Ended June 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. 34 As of December 31, 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 $ 618,946 $ 681,272 $ 187,746 $ 593,841 $ 701,937 $ 611,548 $ 100,223 $ 3,495,513 Special mention (2) — 9,850 — — — — — 9,850 Substandard (3) — 29,400 — — — — — 29,400 Total $ 618,946 $ 720,522 $ 187,746 $ 593,841 $ 701,937 $ 611,548 $ 100,223 $ 3,534,763 For the Three Months Ended June 30, 2023: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Six Months Ended June 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. 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 June 30, 2024 and December 31, 2023, 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 June 30, 2024 As of December 31, 2023 (in thousands) Agricultural Finance Farmer Mac Guaranteed Securities $ 436,822 $ 452,602 Total off-balance sheet Farmer Mac Guaranteed Securities $ 436,822 $ 452,602 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: 35 Table 6.2 For the Six Months Ended June 30, 2024 June 30, 2023 (in thousands) Proceeds from new securitizations $ 343,654 $ 222,188 Guarantee fees received 857 933 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 June 30, 2024 As of December 31, 2023 (dollars in thousands) Guarantee and commitment obligation $ 5,758 $ 5,969 Weighted average remaining maturity: Farmer Mac Guaranteed Securities 21.6 years 21.9 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 June 30, 2024 As of December 31, 2023 (dollars in thousands) Guarantee and commitment obligation (1) $ 39,000 $ 41,594 Maximum principal amount 3,576,116 3,680,333 Weighted-average remaining maturity 14.4 years 14.5 years (1) Relates to LTSPCs issued or modified on or after January 1, 2003. 36 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 June 30, 2024 and December 31, 2023: Table 6.5 June 30, 2024 December 31, 2023 Reserve for Losses Reserve for Losses (in thousands) Agricultural Finance $ 1,443 $ 1,471 Rural Infrastructure Finance 251 240 Total $ 1,694 $ 1,711 The following is a summary of the changes in the reserve for losses for the three and six month periods ended June 30, 2024 and 2023: Table 6.6 For the Three Months Ended For the Six Months Ended June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Reserve for Losses Reserve for Losses Reserve for Losses Reserve for Losses (in thousands) Agricultural Finance Beginning Balance $ 1,407 $ 1,396 $ 1,471 $ 819 (Release of)/provision for losses 36 75 ( 28 ) 652 Ending Balance $ 1,443 $ 1,471 $ 1,443 $ 1,471 Rural Infrastructure Finance Beginning Balance $ 235 $ 240 $ 240 $ 614 Release of losses 16 ( 6 ) 11 ( 380 ) Ending Balance $ 251 $ 234 $ 251 $ 234 The provision for the reserve for losses in the Agricultural Finance LTSPC portfolio recorded during the six months ended June 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 six months ended June 30, 2023 was primarily due to an updated estimate of expected losses based on additional available loss-given-default industry data. The following table presents the unpaid principal balances by delinquency status of Agricultural Finance and Rural Infrastructure loans underlying LTSPCs and Farmer Mac Guaranteed Securities as of June 30, 2024 and December 31, 2023: 37 Table 6.7 As of June 30, 2024 Current 30-59 Days 60-89 Days 90 Days and Greater (1) Total Past Due Total Loans (in thousands) Agricultural Finance: $ 3,197,192 $ 21,286 $ 303 $ 4,272 $ 25,861 $ 3,223,053 Rural Infrastructure Finance: 597,693 — — — — 597,693 Total $ 3,794,885 $ 21,286 $ 303 $ 4,272 $ 25,861 $ 3,820,746 (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, 2023 Current 30-59 Days 60-89 Days 90 Days and Greater (1) Total Past Due Total Loans (in thousands) Agricultural Finance: $ 3,390,918 $ 2,776 $ 2,366 $ 1,784 $ 6,926 $ 3,397,844 Rural Infrastructure Finance: 535,013 — — — — 535,013 Total $ 3,925,931 $ 2,776 $ 2,366 $ 1,784 $ 6,926 $ 3,932,857 (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 June 30, 2024 and December 31, 2023, by year of origination: Table 6.8 As of June 30, 2024 Year of Origination: 2024 2023 2022 2021 2020 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Agricultural Finance: Internally Assigned Risk Rating: Acceptable $ 9,001 $ 158,446 $ 228,783 $ 478,551 $ 515,714 $ 1,334,544 $ 391,099 $ 3,116,138 Special mention (1) — — 4,920 14,717 2,408 47,945 8,602 78,592 Substandard (2) — — — 1,182 — 25,918 1,223 28,323 Total $ 9,001 $ 158,446 $ 233,703 $ 494,450 $ 518,122 $ 1,408,407 $ 400,924 $ 3,223,053 For the Three Months Ended June 30, 2024: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Six Months Ended June 30, 2024: 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. 38 (2) Substandard assets have a well-defined weakness or weaknesses and there is a distinct possibility that some loss will be sustained if deficiencies are not corrected. As of June 30, 2024 Year of Origination: 2024 2023 2022 2021 2020 Prior Revolving Loans - Amortized Cost Basis Total (in thousands) Rural Infrastructure Finance: Internally Assigned Risk Rating: Acceptable $ — $ — $ — $ — $ — $ 368,801 $ 228,892 $ 597,693 Special mention (1) — — — — — — — — Substandard (2) — — — — — — — — Total $ — $ — $ — $ — $ — $ 368,801 $ 228,892 $ 597,693 For the Three Months Ended June 30, 2024: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Six Months Ended June 30, 2024: 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, 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 $ 169,429 $ 246,441 $ 515,396 $ 534,395 $ 264,815 $ 1,185,811 $ 391,335 $ 3,307,622 Special mention (1) — 71 2,466 872 531 44,631 8,565 57,136 Substandard (2) — — — 131 1,536 26,328 5,091 33,086 Total $ 169,429 $ 246,512 $ 517,862 $ 535,398 $ 266,882 $ 1,256,770 $ 404,991 $ 3,397,844 For the Three Months Ended June 30, 2023: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Six Months Ended June 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. 39 As of December 31, 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 $ — $ — $ — $ — $ — $ 419,190 $ 115,823 $ 535,013 Special mention (1) — — — — — — — — Substandard (2) — — — — — — — — Total $ — $ — $ — $ — $ — $ 419,190 $ 115,823 $ 535,013 For the Three Months Ended June 30, 2023: Current period charge-offs $ — $ — $ — $ — $ — $ — $ — $ — For the Six Months Ended June 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. 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. 40 The following tables set forth information related to Farmer Mac's borrowings as of June 30, 2024 and December 31, 2023: Table 7.1 June 30, 2024 Outstanding as of June 30 Average Outstanding During the Quarter Amount Weighted- Average Rate Amount Weighted- Average Rate (dollars in thousands) Due within one year: Discount notes $ 2,277,122 5.21 % $ 1,819,293 5.24 % Medium-term notes 643,430 5.25 % 381,667 5.26 % Current portion of medium-term notes 6,128,319 3.35 % Total due within one year $ 9,048,871 3.95 % Due after one year: Medium-term notes due in: Two years $ 4,729,447 2.92 % Three years 4,206,620 2.89 % Four years 2,679,370 3.96 % Five years 2,710,065 4.63 % Thereafter 3,444,344 2.84 % Total due after one year $ 17,769,846 3.31 % Total principal net of discounts $ 26,818,717 3.53 % Hedging adjustments ( 276,046 ) Total $ 26,542,671 December 31, 2023 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 $ 1,734,387 5.32 % $ 1,097,300 5.08 % Medium-term notes 384,970 5.07 % 1,731,308 4.09 % Current portion of medium-term notes 5,967,811 2.90 % Total due within one year $ 8,087,168 3.52 % Due after one year: Medium-term notes due in: Two years $ 5,523,671 3.27 % Three years 3,825,702 2.27 % Four years 3,038,229 3.44 % Five years 2,623,202 4.37 % Thereafter 3,488,987 2.80 % Total due after one year $ 18,499,791 3.16 % Total principal net of discounts $ 26,586,959 3.27 % Hedging adjustments ( 250,417 ) Total $ 26,336,542 41 The maximum amount of Farmer Mac's discount notes outstanding at any month end during each of the six months ended June 30, 2024 and 2023 was $ 2.3 billion and $ 1.0 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 2024 as of June 30, 2024: Table 7.2 Debt Callable in 2024 as of June 30, 2024, by Maturity Amount Weighted-Average Rate (dollars in thousands) Maturity: 2025 $ 1,090,587 3.11 % 2026 1,378,895 2.00 % 2027 869,065 2.83 % 2028 548,013 4.16 % Thereafter 1,790,661 2.51 % Total $ 5,677,221 2.71 % The following schedule summarizes the earliest interest rate reset date, or debt maturities, of total borrowings outstanding as of June 30, 2024, 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: 2024 $ 7,431,079 4.54 % 2025 5,542,427 3.17 % 2026 4,066,181 2.36 % 2027 3,168,266 3.39 % 2028 2,564,571 4.22 % Thereafter 4,046,193 3.01 % Total principal net of discounts $ 26,818,717 3.53 % During the six months ended June 30, 2024 and 2023, Farmer Mac called $ 454.5 million and $ 0.0 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 42 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 June 30, 2024, Farmer Mac had not used this borrowing authority. Gains on Repurchases of Outstanding Debt No outstanding debt repurchases were made in the three months ended June 30, 2024 and 2023. 8. EQUITY Common Stock During first and second quarter 2024, Farmer Mac paid a quarterly dividend of $ 1.40 per share on all classes of its common stock. For each quarter in 2023, Farmer Mac paid a quarterly dividend of $ 1.10 per share on all classes of its common stock. Except for the period from March 16, 2020 to March 10, 2021, Farmer Mac has had a common stock repurchase program in place since third quarter 2015. On March 10, 2021, Farmer Mac's board of directors reinstated the share repurchase program on its previous terms and extended the expiration date of the program to March 2023. 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 has no t repurchased any shares of its Class C non-voting common stock since the repurchase program was reinstated in March 2021. As of June 30, 2024, 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. Preferred Stock On July 18, 2024, Farmer Mac redeemed all outstanding shares of its 6.000 % Fixed-to-Floating Rate Non-Cumulative Series C Preferred Stock, plus any declared and unpaid dividends through and including the redemption date. As a result of this redemption, Farmer Mac will recognize $ 1.6 million of deferred issuance costs in third quarter 2024, which will be presented as "Loss on retirement of preferred stock" on the consolidated statements of operations. Capital Requirements Farmer Mac is required to comply with the higher of the minimum capital requirement and the risk-based capital requirement. As of both June 30, 2024 and December 31, 2023, the minimum capital requirement was greater than the risk-based capital requirement. Farmer Mac's ability to declare and pay dividends could be restricted if it fails to comply with applicable capital requirements. As of June 30, 2024, Farmer Mac's minimum capital requirement was $ 883.7 million and its core capital level was $ 1.5 billion, which was $ 626.4 million above the minimum capital requirement as of that date. As of December 31, 2023, Farmer Mac's minimum capital requirement was $ 862.6 million and its 43 core capital level was $ 1.5 billion, which was $ 589.4 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. 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 June 30, 2024 and December 31, 2023, 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 June 30, 2024 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 $ — $ — $ 19,478 $ 19,478 Floating rate Government/GSE guaranteed mortgage-backed securities — 2,244,900 — 2,244,900 Fixed rate GSE guaranteed mortgage-backed securities — 1,913,762 — 1,913,762 Floating rate U.S. Treasuries 49,990 — — 49,990 Fixed rate U.S. Treasuries 1,020,585 — — 1,020,585 Total Available-for-sale Investment Securities 1,070,575 4,158,662 19,478 5,248,715 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage — — 5,389,841 5,389,841 Farmer Mac Guaranteed Securities — — 9,310 9,310 Total Farmer Mac Guaranteed Securities — — 5,399,151 5,399,151 USDA Securities: Trading — — 1,026 1,026 Total USDA Securities — — 1,026 1,026 Financial derivatives 163 53,523 — 53,686 Guarantee Asset — — 5,559 5,559 Total Assets at fair value $ 1,070,738 $ 4,212,185 $ 5,425,214 $ 10,708,137 Liabilities: Financial derivatives $ 4 $ 118,417 $ — $ 118,421 Total Liabilities at fair value $ 4 $ 118,417 $ — $ 118,421 (1) Level 3 assets represent 18 % of total assets and 50 % of financial instruments measured at fair value. 44 Assets and Liabilities Measured at Fair Value as of December 31, 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 $ — $ — $ 19,082 $ 19,082 Floating rate Government/GSE guaranteed mortgage-backed securities — 2,424,434 — 2,424,434 Fixed rate GSE guaranteed mortgage-backed securities — 1,569,615 — 1,569,615 Floating rate U.S. Treasuries 49,968 — — 49,968 Fixed rate U.S. Treasuries 855,832 — — 855,832 Total Available-for-sale Investment Securities 905,800 3,994,049 19,082 4,918,931 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage — — 5,522,712 5,522,712 Farmer Mac Guaranteed Securities — — 9,767 9,767 Total Farmer Mac Guaranteed Securities — — 5,532,479 5,532,479 USDA Securities: Trading — — 1,241 1,241 Total USDA Securities — — 1,241 1,241 Financial derivatives 11 37,467 — 37,478 Guarantee Asset — — 5,831 5,831 Total Assets at fair value $ 905,811 $ 4,031,516 $ 5,558,633 $ 10,495,960 Liabilities: Financial derivatives $ 91 $ 117,040 $ — $ 117,131 Total Liabilities at fair value $ 91 $ 117,040 $ — $ 117,131 (1) Level 3 assets represent 19 % of total assets and 52 % of financial instruments measured at fair value. There were no material assets or liabilities measured at fair value on a non-recurring basis as of June 30, 2024 or December 31, 2023. Transfers in and/or out of the different levels within the fair value hierarchy are based on the fair values of the assets and liabilities as of the beginning of the reporting period. During the three and six months ended June 30, 2024 and 2023, there were no transfers within the fair value hierarchy. 45 The following tables present additional information about assets and liabilities measured at fair value on a recurring basis for which Farmer Mac has used significant unobservable inputs to determine fair value. Net transfers in and/or out of Level 3 are based on the fair values of the assets and liabilities as of the beginning of the reporting period. There were no liabilities measured at fair value using significant unobservable inputs during the three and six months ended June 30, 2024 and 2023. Table 9.2 Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended June 30, 2024 Beginning Balance Purchases Settlements Allowance for Losses Realized and unrealized (losses)/gains 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 $ 19,281 $ — $ — $ 1 $ — $ 196 $ 19,478 Total available-for-sale 19,281 — — 1 — 196 19,478 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage 5,457,197 225,000 ( 280,833 ) 29 ( 6,460 ) ( 5,092 ) 5,389,841 Farmer Mac Guaranteed Securities 9,491 — ( 171 ) — — ( 10 ) 9,310 Total available-for-sale 5,466,688 225,000 ( 281,004 ) 29 ( 6,460 ) ( 5,102 ) 5,399,151 USDA Securities: Trading 1,066 — ( 43 ) — 3 — 1,026 Total USDA Securities 1,066 — ( 43 ) — 3 — 1,026 Guarantee and commitment obligations: Guarantee Asset 5,733 — ( 85 ) — ( 89 ) — 5,559 Total Guarantee and commitment obligations 5,733 — ( 85 ) — ( 89 ) — 5,559 Total Assets at fair value $ 5,492,768 $ 225,000 $ ( 281,132 ) $ 30 $ ( 6,546 ) $ ( 4,906 ) $ 5,425,214 46 Level 3 Assets and Liabilities Measured at Fair Value for the Three Months Ended June 30, 2023 Beginning Balance Purchases Settlements Allowance for Losses Realized and unrealized losses included in Income Unrealized gains included in Other Comprehensive Income Ending Balance (in thousands) Recurring: Assets: Investment Securities: Available-for-sale: Floating rate auction-rate certificates backed by Government guaranteed student loans $ 19,031 $ — $ — $ 1 $ — $ — $ 19,032 Total available-for-sale 19,031 — — 1 — — 19,032 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage 8,217,420 852,000 ( 1,257,413 ) 8 ( 101,872 ) 27,667 7,737,810 Farmer Mac Guaranteed Securities 8,034 — ( 441 ) — — 12 7,605 Total available-for-sale 8,225,454 852,000 ( 1,257,854 ) 8 ( 101,872 ) 27,679 7,745,415 USDA Securities: Trading 1,405 — ( 48 ) — ( 9 ) — 1,348 Total USDA Securities 1,405 — ( 48 ) — ( 9 ) — 1,348 Guarantee and commitment obligations: Guarantee Asset 4,570 — ( 191 ) — ( 48 ) — 4,331 Total Guarantee and commitment obligations 4,570 — ( 191 ) — ( 48 ) — 4,331 Total Assets at fair value $ 8,250,460 $ 852,000 $ ( 1,258,093 ) $ 9 $ ( 101,929 ) $ 27,679 $ 7,770,126 Level 3 Assets and Liabilities Measured at Fair Value for the Six Months Ended June 30, 2024 Beginning Balance Purchases Settlements Allowance for Losses Realized and unrealized (losses)/gains 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 $ 19,082 $ — $ — $ 2 $ — $ 394 $ 19,478 Total available-for-sale 19,082 — — 2 — 394 19,478 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage 5,522,712 275,000 ( 344,788 ) 56 ( 87,155 ) 24,016 5,389,841 Farmer Mac Guaranteed Securities 9,767 — ( 348 ) — — ( 109 ) 9,310 Total available-for-sale 5,532,479 275,000 ( 345,136 ) 56 ( 87,155 ) 23,907 5,399,151 USDA Securities: Trading 1,241 — ( 216 ) — 1 — 1,026 Total USDA Securities 1,241 — ( 216 ) — 1 — 1,026 Guarantee and commitment obligations: Guarantee Asset 5,831 — ( 170 ) — ( 102 ) — 5,559 Total Guarantee and commitment obligations 5,831 — ( 170 ) — ( 102 ) — 5,559 Total Assets at fair value $ 5,558,633 $ 275,000 $ ( 345,522 ) $ 58 $ ( 87,256 ) $ 24,301 $ 5,425,214 47 Level 3 Assets and Liabilities Measured at Fair Value for the Six Months Ended June 30, 2023 Beginning Balance Purchases Settlements Allowance for Losses Realized and unrealized (losses)/gains included in Income Unrealized gains included in Other Comprehensive Income Ending Balance (in thousands) Recurring: Assets: Investment Securities: Available-for-sale: Floating rate auction-rate certificates backed by Government guaranteed student loans $ 19,027 $ — $ — $ 5 $ — $ — $ 19,032 Total available-for-sale 19,027 — — 5 — — 19,032 Farmer Mac Guaranteed Securities: Available-for-sale: AgVantage 7,599,379 1,539,650 ( 1,398,799 ) 40 ( 8,530 ) 6,070 7,737,810 Farmer Mac Guaranteed Securities 7,847 — ( 874 ) — — 632 7,605 Total available-for-sale 7,607,226 1,539,650 ( 1,399,673 ) 40 ( 8,530 ) 6,702 7,745,415 USDA Securities: Trading 1,767 — ( 435 ) — 16 — 1,348 Total USDA Securities 1,767 — ( 435 ) — 16 — 1,348 Guarantee and commitment obligations: Guarantee Asset 4,467 — ( 422 ) — 286 — 4,331 Total Guarantee and commitment obligations 4,467 — ( 422 ) — 286 — 4,331 Total Assets at fair value $ 7,632,487 $ 1,539,650 $ ( 1,400,530 ) $ 45 $ ( 8,228 ) $ 6,702 $ 7,770,126 48 The following tables present additional information about the significant unobservable inputs, such as discount rates and constant prepayment rates ("CPR"), used in the fair value measurements categorized in Level 3 of the fair value hierarchy as of June 30, 2024 and December 31, 2023: Table 9.3 As of June 30, 2024 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 $ 19,478 Indicative bids Range of broker quotes 99.0 % - 99.0 % ( 99.0 %) Farmer Mac Guaranteed Securities: AgVantage $ 5,389,841 Discounted cash flow Discount rate 5.1 % - 6.0 % ( 5.4 %) Farmer Mac Guaranteed Securities $ 9,310 Discounted cash flow Discount rate 7.6 % CPR 3 % USDA Securities $ 1,026 Discounted cash flow Discount rate 5.9 % - 6.0 % ( 5.9 %) CPR 12 % - 12 % ( 12 %) Guarantee Asset $ 5,559 Discounted cash flow Discount rate 7.6 % CPR 3 % As of December 31, 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 $ 19,082 Indicative bids Range of broker quotes 97.0 % - 97.0 % ( 97.0 %) Farmer Mac Guaranteed Securities: AgVantage $ 5,522,712 Discounted cash flow Discount rate 4.7 % - 5.4 % ( 5.0 %) Farmer Mac Guaranteed Securities $ 9,767 Discounted cash flow Discount rate 8.3 % CPR 3 % USDA Securities $ 1,241 Discounted cash flow Discount rate 5.4 % - 5.4 % ( 5.4 %) CPR 12 % - 12 % ( 12 %) Guarantee Asset $ 5,831 Discounted cash flow Discount rate 8.3 % CPR 3 % 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. CPR are not presented in the table above for AgVantage securities 49 because they generally have fixed maturity dates when the secured general obligations are due and do not prepay. Disclosures on Fair Value of Financial Instruments The following table sets forth the estimated fair values and carrying values for financial assets, liabilities, and guarantees and commitments as of June 30, 2024 and December 31, 2023: Table 9.4 As of June 30, 2024 As of December 31, 2023 Fair Value Carrying Amount Fair Value Carrying Amount (in thousands) Financial assets: Cash and cash equivalents $ 922,961 $ 922,961 $ 888,707 $ 888,707 Investment securities 5,265,609 5,265,383 4,981,249 4,979,504 Farmer Mac Guaranteed Securities 9,304,940 9,328,219 9,710,074 9,745,548 USDA Securities 1,996,586 2,331,561 2,036,046 2,355,412 Loans 11,114,479 11,786,508 10,426,021 11,039,349 Financial derivatives 53,686 53,686 37,478 37,478 Guarantee and commitment fees receivable 54,220 46,754 58,465 49,832 Financial liabilities: Notes payable 25,848,684 26,542,671 25,670,971 26,336,542 Debt securities of consolidated trusts held by third parties 1,577,031 1,662,549 1,268,563 1,351,069 Financial derivatives 118,421 118,421 117,131 117,131 Guarantee and commitment obligations 52,224 44,758 56,195 47,563 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 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, 50 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 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 six months ended June 30, 2024 and 2023. 51 Table 10.1 Core Earnings by Business Segment For the Three Months Ended June 30, 2024 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 $ 35,522 $ 7,866 $ 7,672 $ 2,999 $ 32,620 $ 661 $ — $ — $ 87,340 Less: reconciling adjustments (1)(2)(3) ( 1,366 ) — ( 26 ) — ( 2,352 ) — — 3,744 — Net effective spread 34,156 7,866 7,646 2,999 30,268 661 — 3,744 — Guarantee and commitment fees 4,612 127 301 216 — — — ( 1,459 ) 3,797 Gain on sale of investment securities — — — — — 1,052 — — 1,052 Loss on sale of mortgage loan — ( 1,147 ) — — — — — — ( 1,147 ) Other income (3) 517 ( 5 ) — — — 7 ( 38 ) ( 1,606 ) ( 1,125 ) Total revenues 39,285 6,841 7,947 3,215 30,268 1,720 ( 38 ) 679 89,917 (Provision for)/release of losses ( 211 ) ( 5,354 ) 502 ( 1,117 ) — 1 — — ( 6,179 ) Provision for reserve for losses ( 36 ) — ( 15 ) — — — — — ( 51 ) Operating expenses — — — — — — ( 24,469 ) — ( 24,469 ) Total non-interest expense ( 36 ) — ( 15 ) — — — ( 24,469 ) — ( 24,520 ) Core earnings before income taxes 39,038 1,487 8,434 2,098 30,268 1,721 ( 24,507 ) 679 (4) 59,218 Income tax (expense)/benefit ( 8,198 ) ( 312 ) ( 1,771 ) ( 441 ) ( 6,355 ) ( 362 ) 5,469 ( 143 ) ( 12,113 ) Core earnings before preferred stock dividends 30,840 1,175 6,663 1,657 23,913 1,359 ( 19,038 ) 536 (4) 47,105 Preferred stock dividends — — — — — — ( 6,792 ) — ( 6,792 ) Segment core earnings/(losses) $ 30,840 $ 1,175 $ 6,663 $ 1,657 $ 23,913 $ 1,359 $ ( 25,830 ) $ 536 (4) $ 40,313 Total Assets $ 14,962,357 $ 1,660,154 $ 7,135,581 $ 736,936 $ — $ 5,560,800 $ 138,486 $ — $ 30,194,314 Total on- and off-balance sheet program assets at principal balance $ 18,504,501 $ 1,816,893 $ 7,561,473 $ 875,472 $ — $ — $ — $ — $ 28,758,339 (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 "(Losses)/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. 52 Core Earnings by Business Segment For the Three Months Ended June 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 $ 35,425 $ 7,444 $ 5,839 $ 1,100 $ 28,402 $ 467 $ — $ — $ 78,677 Less: reconciling adjustments (1)(2)(3) ( 1,037 ) — ( 31 ) — 4,096 127 — ( 3,155 ) — Net effective spread 34,388 7,444 5,808 1,100 32,498 594 — ( 3,155 ) — Guarantee and commitment fees 4,221 62 281 17 — — — ( 1,092 ) 3,489 Other income/(expense) (3) 342 12 — — — 11 44 2,042 2,451 Total revenues 38,951 7,518 6,089 1,117 32,498 605 44 ( 2,205 ) 84,617 (Provision for)/release of losses ( 5 ) ( 327 ) ( 632 ) ( 110 ) — 1 — — ( 1,073 ) (Provision for)/release of reserve for losses ( 75 ) — 6 — — — — — ( 69 ) Operating expenses — — — — — — ( 24,188 ) — ( 24,188 ) Total non-interest expense ( 75 ) — 6 — — — ( 24,188 ) — ( 24,257 ) Core earnings before income taxes 38,871 7,191 5,463 1,007 32,498 606 ( 24,144 ) ( 2,205 ) (4) 59,287 Income tax (expense)/benefit ( 8,163 ) ( 1,510 ) ( 1,147 ) ( 211 ) ( 6,825 ) ( 127 ) 5,444 464 ( 12,075 ) Core earnings before preferred stock dividends 30,708 5,681 4,316 796 25,673 479 ( 18,700 ) ( 1,741 ) (4) 47,212 Preferred stock dividends — — — — — — ( 6,791 ) — ( 6,791 ) Segment core earnings/(losses) $ 30,708 $ 5,681 $ 4,316 $ 796 $ 25,673 $ 479 $ ( 25,491 ) $ ( 1,741 ) (4) $ 40,421 Total Assets $ 14,456,296 $ 1,584,841 $ 6,169,811 $ 314,538 $ — $ 4,959,243 $ 174,836 $ — $ 27,659,565 Total on- and off-balance sheet program assets at principal balance $ 18,116,503 $ 1,680,756 $ 6,611,892 $ 327,901 $ — $ — $ — $ — $ 26,737,052 (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 "(Losses)/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. 53 Core Earnings by Business Segment For the Six Months Ended June 30, 2024 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 $ 69,411 $ 15,837 $ 14,937 $ 5,048 $ 67,339 $ 1,136 $ — $ — $ 173,708 Less: reconciling adjustments (1)(2)(3) ( 2,412 ) — ( 60 ) — ( 4,596 ) — — 7,068 — Net effective spread 66,999 15,837 14,877 5,048 62,743 1,136 — 7,068 — Guarantee and commitment fees 9,096 214 650 278 — — — ( 2,524 ) 7,714 Gain on sale of investment securities — — — — — 1,052 — — 1,052 Loss on sale of mortgage loan — ( 1,147 ) — — — — — — ( 1,147 ) Other income (3) 1,512 7 — — — 11 28 645 2,203 Total revenues 77,607 14,911 15,527 5,326 62,743 2,199 28 5,189 183,530 (Provision for)/release of losses ( 772 ) ( 4,976 ) 3,519 ( 2,151 ) — 2 — — ( 4,378 ) Release of/(provision for) reserve for losses 28 — ( 10 ) — — — — — 18 Operating expenses — — — — — — ( 51,706 ) — ( 51,706 ) Total non-interest expense 28 — ( 10 ) — — — ( 51,706 ) — ( 51,688 ) Core earnings before income taxes 76,863 9,935 19,036 3,175 62,743 2,201 ( 51,678 ) 5,189 (4) 127,464 Income tax (expense)/benefit ( 16,141 ) ( 2,086 ) ( 3,998 ) ( 667 ) ( 13,174 ) ( 463 ) 11,006 ( 1,090 ) ( 26,613 ) Core earnings before preferred stock dividends 60,722 7,849 15,038 2,508 49,569 1,738 ( 40,672 ) 4,099 (4) 100,851 Preferred stock dividends — — — — — — ( 13,583 ) — ( 13,583 ) Segment core earnings/(losses) $ 60,722 $ 7,849 $ 15,038 $ 2,508 $ 49,569 $ 1,738 $ ( 54,255 ) $ 4,099 (4) $ 87,268 Total Assets $ 14,962,357 $ 1,660,154 $ 7,135,581 $ 736,936 $ — $ 5,560,800 $ 138,486 $ — $ 30,194,314 Total on- and off-balance sheet program assets at principal balance $ 18,504,501 $ 1,816,893 $ 7,561,473 $ 875,472 $ — $ — $ — $ — $ 28,758,339 (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 "(Losses)/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. 54 Core Earnings by Business Segment For the Six Months Ended June 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 $ 68,936 $ 14,592 $ 11,379 $ 1,958 $ 60,946 $ ( 76 ) $ — $ — $ 157,735 Less: reconciling adjustments (1)(2)(3) ( 2,083 ) — ( 64 ) — 3,290 127 — ( 1,270 ) — Net effective spread 66,853 14,592 11,315 1,958 64,236 51 — ( 1,270 ) — Guarantee and commitment fees 8,513 115 562 45 — — — ( 1,813 ) 7,422 Other income/(expense) (3) 1,409 12 — — — 11 44 2,600 4,076 Total revenues 76,775 14,719 11,877 2,003 64,236 62 44 ( 483 ) 169,233 Release of/(provision for) losses 123 ( 4,628 ) 2,852 28 — 5 — — ( 1,620 ) (Provision for)/release of reserve for losses ( 652 ) — 380 — — — — — ( 272 ) Operating expenses — — — — — — ( 47,901 ) — ( 47,901 ) Total non-interest expense ( 652 ) — 380 — — — ( 47,901 ) — ( 48,173 ) Core earnings before income taxes 76,246 10,091 15,109 2,031 64,236 67 ( 47,857 ) ( 483 ) (4) 119,440 Income tax (expense)/benefit ( 16,012 ) ( 2,119 ) ( 3,173 ) ( 426 ) ( 13,490 ) ( 14 ) 9,939 102 ( 25,193 ) Core earnings before preferred stock dividends 60,234 7,972 11,936 1,605 50,746 53 ( 37,918 ) ( 381 ) (4) 94,247 Preferred stock dividends — — — — — — ( 13,582 ) — ( 13,582 ) Segment core earnings/(losses) $ 60,234 $ 7,972 $ 11,936 $ 1,605 $ 50,746 $ 53 $ ( 51,500 ) $ ( 381 ) (4) $ 80,665 Total Assets $ 14,456,296 $ 1,584,841 $ 6,169,811 $ 314,538 $ — $ 4,959,243 $ 174,836 $ — $ 27,659,565 Total on- and off-balance sheet program assets at principal balance $ 18,116,503 $ 1,680,756 $ 6,611,892 $ 327,901 $ — $ — $ — $ — $ 26,737,052 (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 "(Losses)/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. 55