4 unchanged sentences
The following table sets forth AGM’s loan assets and debt instruments by rate characteristics:
−Removed: As of June 30, 2022 As of December 31, 2021
+Added: As of September 30, 2022 As of December 31, 2021
Dollars Percent Dollars Percent
15 unchanged sentences
A summary of fixed rate floor income earned by the AGM operating segment follows.
−Removed: Three months ended June 30, Six months ended June 30,
+Added: Three months ended September 30, Nine months ended September 30,
2022 2021 2022 2021
3 unchanged sentences
(a) Derivative settlements consist of settlements received (paid) related to the Company's derivatives used to hedge student loans earning fixed rate floor income.
−Removed: Gross fixed rate floor income decreased for the three and six months ended June 30, 2022 as compared to the same periods in 2021 due to higher interest rates in 2022 as compared to 2021.
+Added: Gross fixed rate floor income decreased for the three and nine months ended September 30, 2022 as compared to the same periods in 2021 due to higher interest rates in 2022 as compared to 2021.
Absent the use of derivative instruments, a rise in interest rates will reduce the amount of floor income received and has an impact on earnings due to interest margin compression caused by increasing financing costs, until such time as the federally insured loans earn interest at a variable rate in accordance with their SAP formulas.
1 unchanged sentence
The Company enters into derivative instruments to hedge student loans earning fixed rate floor income.
−Removed: The increase in net derivative settlements received by the Company during the three and six months ended June 30, 2022, as compared to net derivative settlements paid during the same periods in 2021, was due to an increase in interest rates, partially offset by a decrease in the notional amount of derivatives outstanding.
+Added: The increase in net derivative settlements received by the Company during the three and nine months ended September 30, 2022, as compared to net derivative settlements paid during the same periods in 2021, was due to an increase in interest rates, partially offset by a decrease in the notional amount of derivatives outstanding.
The following graph depicts fixed rate floor income for a borrower with a fixed rate of 6.75% and a SAP rate of 2.64%:
−Removed: The following table shows AGM’s federally insured student loan assets that were earning fixed rate floor income as of June 30, 2022.
+Added: The following table shows AGM’s federally insured student loan assets that were earning fixed rate floor income as of September 30, 2022.
Fixed interest rate range Borrower/lender weighted average yield Estimated variable conversion rate (a) Loan balance
7 unchanged sentences
9.05% 6.41% 150,258
−Removed: 7.5 - 7.99% 7.71% 5.07% 182,195
−Removed: 8.0 - 8.99% 8.18% 5.54% 424,181
−Removed: 9.05% 6.41% 164,979
(a) The estimated variable conversion rate is the estimated short-term interest rate at which loans would convert to a variable rate.
−Removed: As of June 30, 2022, the weighted average estimated variable conversion rate was 3.02% and the short-term interest rate was 100 basis points.
−Removed: The following table summarizes the outstanding derivative instruments as of June 30, 2022 used by AGM to economically hedge loans earning fixed rate floor income.
+Added: As of September 30, 2022, the weighted average estimated variable conversion rate was 4.41% and the short-term interest rate was 251 basis points.
+Added: The following table summarizes the outstanding derivative instruments as of September 30, 2022 used by AGM to economically hedge loans earning fixed rate floor income.
Maturity Notional amount Weighted average fixed rate paid by the Company (a)
3 unchanged sentences
$ 2,600,000 0.52 %
−Removed: $ 3,100,000 0.49 %
(a) For all interest rate derivatives, the Company receives discrete three-month LIBOR.
AGM is also exposed to interest rate risk in the form of basis risk and repricing risk because the interest rate characteristics of AGM’s assets do not match the interest rate characteristics of the funding for those assets.
−Removed: The following table presents AGM’s FFELP student loan assets and related funding for those assets arranged by underlying indices as of June 30, 2022.
+Added: The following table presents AGM’s FFELP student loan assets and related funding for those assets arranged by underlying indices as of September 30, 2022.
Index Frequency of variable resets Assets Funding of student loan assets
5 unchanged sentences
Fixed rate — — 646,956
−Removed: Auction-rate (b) Varies — 221,385
−Removed: Asset-backed commercial paper (c) Varies — 4,618
+Added: Asset-backed commercial paper (b) Varies — 249,543
+Added: Auction-rate (c) Varies — 208,660
Other (d) — 1,493,406 1,632,529
2 unchanged sentences
The Company entered into these derivative instruments to better match the interest rate characteristics on its student loan assets and the debt funding such assets.
−Removed: The following table summarizes the 1:3 Basis Swaps outstanding as of June 30, 2022.
+Added: The following table summarizes the 1:3 Basis Swaps outstanding as of September 30, 2022.
Maturity Notional amount (i)
2 unchanged sentences
2026 1,150,000
−Removed: (i) The weighted average rate paid by the Company on the 1:3 Basis Swaps as of June 30, 2022 was one-month LIBOR plus 9.4 basis points.
−Removed: (b) As of June 30, 2022, the Company was sponsor for $221.4 million of outstanding asset-backed securities that were set and provide for interest rates to be periodically reset via a "dutch auction" (“Auction Rate Securities”).
+Added: (i) The weighted average rate paid by the Company on the 1:3 Basis Swaps as of September 30, 2022 was one-month LIBOR plus 9.4 basis points.
+Added: (b) The interest rate on the Company's FFELP warehouse facility is indexed to asset-backed commercial paper rates.
+Added: (c) As of September 30, 2022, the Company was sponsor for $208.7 million of outstanding asset-backed securities that were set and provide for interest rates to be periodically reset via a "dutch auction" (“Auction Rate Securities”).
Since the auction feature has essentially been inoperable for substantially all auction rate securities since 2008, the Auction Rate Securities generally pay interest to the holder at a maximum rate as defined by the indenture.
While these rates will vary, they will generally be based on a spread to LIBOR or Treasury Securities, or the Net Loan Rate as defined in the financing documents.
−Removed: (c) The interest rate on the Company's FFELP warehouse facility is indexed to asset-backed commercial paper rates.
(d) Assets include accrued interest receivable and restricted cash.
14 unchanged sentences
Dollars Percent Dollars Percent Dollars Percent Dollars Percent
−Removed: Three months ended June 30, 2022
+Added: Three months ended September 30, 2022
Effect on earnings:
3 unchanged sentences
Increase (decrease) in basic and diluted earnings per share $ 0.08 $ 0.32 $ 0.00 $ 0.01
−Removed: Three months ended June 30, 2021
+Added: Three months ended September 30, 2021
Effect on earnings:
6 unchanged sentences
diluted earnings per share $ (0.04) $ 0.19 $ 0.00 $ 0.00
−Removed: Six months ended June 30, 2022
+Added: Nine months ended September 30, 2022
Effect on earnings:
6 unchanged sentences
diluted earnings per share $ 0.13 $ 0.87 $ 0.00 $ 0.02
−Removed: Six months ended June 30, 2021
+Added: Nine months ended September 30, 2021
Effect on earnings:
10 unchanged sentences
The following table presents Nelnet Bank's loan assets and deposits by rate characteristics:
−Removed: As of June 30, 2022 As of December 31, 2021
+Added: As of September 30, 2022 As of December 31, 2021
Dollars Percent Dollars Percent
6 unchanged sentences
Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.