4 unchanged sentences
The following table sets forth AGM’s loan assets and debt instruments by rate characteristics:
−Removed: As of March 31, 2024 As of December 31, 2023
+Added: As of June 30, 2024 As of December 31, 2023
Dollars Percent Dollars Percent
17 unchanged sentences
A summary of fixed rate floor income earned by the AGM operating segment follows.
−Removed: Three months ended March 31,
+Added: Three months ended June 30, Six months ended June 30,
+Added: 2024 2023 2024 2023
Fixed rate floor income, gross $ 159 456 $ 338 1,567
2 unchanged sentences
(a) Derivative settlements consist of settlements received 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 months ended March 31, 2024 compared with the same period in 2023 due to higher interest rates in 2024 compared with 2023.
+Added: Gross fixed rate floor income decreased for the three and six months ended June 30, 2024 compared with the same periods in 2023 due to higher interest rates in 2024 compared with 2023.
The Company had a significant portfolio of derivative instruments in which the Company paid a fixed rate and received a floating rate to economically hedge loans earning fixed rate floor income.
2 unchanged sentences
Subsequent to terminating these derivatives, during the second and fourth quarters of 2023, the Company entered into a total of $400.0 million notional amount of derivatives to hedge loans earning fixed rate floor income and other loans and investments in which the Company receives a fixed rate.
−Removed: The decrease in net derivative settlements received by the Company during the three months ended March 31, 2024, compared with the same period in 2023, was due to a decrease in the notional amount of derivatives outstanding and less favorable terms on the $400.0 million of notional derivatives entered into in 2023 compared with the $2.8 billion notional derivatives that were terminated due to an increase in interest rates from when the terminated derivatives were initially executed.
+Added: The increase in net derivative settlements received by the Company during the three months ended June 30, 2024, compared with the same period in 2023, was due to an increase in the notional amount of derivatives outstanding.
+Added: The decrease in net derivative settlements received by the Company during the six months ended June 30, 2024, compared with the same period in 2023, was due to a decrease in the notional amount of derivatives outstanding and less favorable terms on the $400.0 million of notional derivatives entered into in 2023 compared with the $2.8 billion notional derivatives that were terminated due to an increase in interest rates from when the terminated derivatives were initially executed.
For further details of the Company’s derivatives used to hedge fixed rate loans, see note 5 of the notes to consolidated financial statements included in Part I, Item 1 of this report.
−Removed: The following table shows AGM’s federally insured student loan assets that were earning fixed rate floor income as of March 31, 2024.
+Added: The following table shows AGM’s federally insured student loan assets that were earning fixed rate floor income as of June 30, 2024.
Fixed interest rate range Borrower/lender weighted average yield Estimated variable conversion rate (a) Loan balance
2 unchanged sentences
(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 March 31, 2024, the weighted average estimated variable conversion rate was 5.93% and the short-term interest rate was 556 basis points.
+Added: As of June 30, 2024, the weighted average estimated variable conversion rate was 5.93% and the short-term interest rate was 556 basis points.
AGM is also exposed to interest rate risk in the form of repricing risk and basis 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 March 31, 2024.
+Added: The following table presents AGM’s FFELP student loan assets and related funding for those assets arranged by underlying indices as of June 30, 2024.
Index Frequency of variable resets Assets Funding of student loan assets
4 unchanged sentences
90-day average SOFR / 3-month CME Term SOFR (a) Quarterly — 2,317,187
−Removed: Asset-backed commercial paper (b) Varies — 1,066,197
+Added: Asset-backed commercial paper / SOFR (b) Varies — 964,196
Fixed rate — — 389,462
5 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 March 31, 2024.
+Added: The following table summarizes the 1:3 Basis Swaps outstanding as of June 30, 2024.
Maturity Notional amount (i)
2026 $ 1,150,000
−Removed: 2026 1,150,000
−Removed: (i) The weighted average rate paid by the Company on the 1:3 Basis Swaps as of March 31, 2024 was the term adjusted SOFR (plus the tenor spread adjustment relating to LIBOR) plus 10.1 basis points.
−Removed: (b) The interest rate on the Company's FFELP warehouse facilities is indexed to asset-backed commercial paper rates.
−Removed: (c) As of March 31, 2024, the Company was sponsor for $84.7 million of outstanding asset-backed securities that were set and provide for interest rates to be periodically reset via a "dutch auction" (the “Auction Rate Securities”).
+Added: (i) The weighted average rate paid by the Company on the 1:3 Basis Swaps as of June 30, 2024 was the term adjusted SOFR (plus the tenor spread adjustment relating to LIBOR) plus 10.4 basis points.
+Added: (b) The interest rate on the Company's FFELP warehouse facilities is indexed to asset-backed commercial paper rates and daily SOFR.
+Added: (c) As of June 30, 2024, the Company was sponsor for $75.7 million of outstanding asset-backed securities that were set and provide for interest rates to be periodically reset via a "dutch auction" (the “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.
13 unchanged sentences
Dollars Percent Dollars Percent Dollars Percent Dollars Percent
−Removed: Three months ended March 31, 2024
+Added: Three months ended June 30, 2024
Effect on earnings:
3 unchanged sentences
Increase in basic and diluted earnings per share $ 0.03 $ 0.11 $ 0.02 $ 0.10
−Removed: Three months ended March 31, 2023
+Added: Three months ended June 30, 2023
Effect on earnings:
3 unchanged sentences
Increase in basic and diluted earnings per share $ 0.02 $ 0.06 $ 0.01 $ 0.07
+Added: Six months ended June 30, 2024
+Added: Effect on earnings:
+Added: Increase in pre-tax net income before impact of derivative settlements $ 1,573 1.0 % $ 5,410 3.6 % $ 3,420 2.2 % $ 15,415 10.1 %
+Added: Impact of derivative settlements 1,492 1.0 4,476 2.9 (1,492) (1.0) (4,476) (2.9)
+Added: Increase in net income before taxes $ 3,065 2.0 % $ 9,886 6.5 % $ 1,928 1.2 % $ 10,939 7.2 %
+Added: Increase in basic and diluted earnings per share $ 0.06 $ 0.20 $ 0.04 $ 0.23
+Added: Six months ended June 30, 2023
+Added: Effect on earnings:
+Added: Increase in pre-tax net income before impact of derivative settlements $ 1,484 2.4 % $ 7,432 12.2 % $ 390 0.6 % $ 7,412 12.2 %
+Added: Impact of derivative settlements (a) 33 0.1 99 0.2 (33) (0.1) (99) (0.2)
+Added: Increase in net income before taxes $ 1,517 2.5 % $ 7,531 12.4 % $ 357 0.5 % $ 7,313 12.0 %
+Added: Increase in basic and diluted earnings per share $ 0.03 $ 0.15 $ 0.01 $ 0.15
(a) On March 15, 2023, the Company terminated its derivative portfolio hedging loans earning fixed rate floor income.
6 unchanged sentences
Dollars Percent Dollars Percent Dollars Percent Dollars Percent
−Removed: Three months ended March 31, 2024 Three months ended March 31, 2023
+Added: Three months ended June 30, 2024 Three months ended June 30, 2023
Effect on earnings:
3 unchanged sentences
Decrease in basic and diluted earnings per share $ (0.01) $ (0.03) $ (0.01) $ (0.02)
+Added: Six months ended June 30, 2024 Six months ended June 30, 2023
+Added: Effect on earnings:
+Added: Decrease in pre-tax net income before impact of derivative settlements $ (1,895) (1.2) % $ (5,683) (3.7) % $ (2,295) (3.8) % $ (6,886) (11.3) %
+Added: Impact of derivative settlements 1,131 0.7 3,393 2.2 1,562 2.6 4,686 7.7
+Added: Decrease in net income before taxes $ (764) (0.5) % $ (2,290) (1.5) % $ (733) (1.2) % $ (2,200) (3.6) %
+Added: Decrease in basic and diluted earnings per share $ (0.02) $ (0.05) $ (0.01) $ (0.04)
Interest Rate Risk - Nelnet Bank
2 unchanged sentences
The following table presents Nelnet Bank's loan assets, asset-backed security investments, and deposits by rate characteristics:
−Removed: As of March 31, 2024 As of December 31, 2023
+Added: As of June 30, 2024 As of December 31, 2023
Dollars Percent Dollars Percent
11 unchanged sentences
The derivatives are not reflected in the above table.
−Removed: See note 4 of the notes to the consolidated financial statements included under Part I, Item 1 of this report for a summary of Nelnet Bank's derivatives outstanding as of March 31, 2024.
+Added: See note 5 of the notes to consolidated financial statements included under Part I, Item 1 of this report for a summary of Nelnet Bank's derivatives outstanding as of June 30, 2024.
Interest Rate and Market Risk - Investments
1 unchanged sentence
The table below excludes securities (investments) held by Nelnet Bank.
−Removed: Three months ended March 31,
Average balance Interest income/ expense Average yields/ rates Average balance Interest income/ expense Average yields/ rates
+Added: Three months ended June 30,
Asset-backed securities available-for-sale (a) (b) $ 827,144 13,991 6.78 % $ 919,698 14,561 6.35 %
3 unchanged sentences
$ 123,390 2,017 6.56 $ 492,480 7,371 6.00
+Added: Six months ended June 30,
+Added: Asset-backed securities available-for-sale (a) (b) $ 845,389 28,110 6.67 % $ 1,083,959 32,610 6.07 %
+Added: Debt funding asset-backed securities available-for-sale:
+Added: Participation agreement - variable rate (c) $ 5,731 176 6.16 % $ 230,889 6,153 5.37 %
+Added: Repurchase agreements - variable rate (d) 126,461 4,259 6.75 463,637 13,045 5.67
+Added: $ 132,192 4,435 6.73 $ 694,526 19,198 5.57
(a) The Company has repurchased certain of its own asset-backed securities (bonds and notes payable) in the secondary market.
4 unchanged sentences
(b) The majority of the Company’s asset-backed securities earn floating rates with expected returns of approximately SOFR + 100 to 350 basis points to maturity.
−Removed: As of March 31, 2024, $212.3 million (par value) of the Company’s asset-backed securities earn a weighted average fixed rate of 3.17%.
+Added: As of June 30, 2024, $206.5 million (par value) of the Company’s asset-backed securities earn a weighted average fixed rate of 3.22%.
(c) Interest incurred by the Company on amounts borrowed under the participation agreement is at a variable rate of SOFR + 62.5 basis points.
1 unchanged sentence
The Company’s portfolio of asset-backed investment securities has limited liquidity, and the Company could incur a significant loss if the investments were sold prior to maturity at an amount less than the original purchase price.
−Removed: As of March 31, 2024, the gross unrealized loss on the Company’s available-for-sale debt securities was $27.8 million, and the aggregate fair value of available-for-sale debt securities with unrealized losses was $482.7 million.
+Added: As of June 30, 2024, the gross unrealized loss on the Company’s available-for-sale debt securities was $26.7 million, and the aggregate fair value of available-for-sale debt securities with unrealized losses was $401.2 million.
The Company currently has the intent and ability to retain these investments, and none of the unrealized losses were due to credit losses.
1 unchanged sentence
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.