Company: AGM-PH
Filing Date: 2025-11-03
Form Type: 10-Q
Source: 0000845877-25-000252
Chunk: 123

Company: FEDERAL AGRICULTURAL MORTGAGE CORP
Filing Date: 2025-11-03
Form: 10-Q
Item: Part I, Item 1
Chunk 123
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 differ to the extent there are material changes to Farmer Mac's financial asset portfolio or changes in funding or hedging strategies undertaken to mitigate unfavorable sensitivities to interest rate changes.

100

The following schedule summarizes the results of Farmer Mac's MVE and NES sensitivity analysis as of September 30, 2025 and December 31, 2024 to an immediate and instantaneous uniform or "parallel" shift in the yield curve:

Table 29 Percentage Change in MVE from Base CaseInterest Rate ScenarioAs of September 30, 2025As of December 31, 2024+100 basis points(2.5)%(4.0)%-100 basis points3.1 %3.6 %

 Percentage Change in NES from Base CaseInterest Rate ScenarioAs of September 30, 2025As of December 31, 2024+100 basis points0.4 %(0.8)%-100 basis points1.3 %1.6 %

As of September 30, 2025, Farmer Mac maintained a positive effective duration gap of 3.6 months, compared to 3.7 months as of December 31, 2024. Since the end of 2024, the yield curve has declined, with the yields on the 2‑year and 10‑year U.S. Treasury Notes falling by approximately 63 and 42 basis points, respectively. This shift in interest rates shortened the duration profile of Farmer Mac’s funded assets relative to its liabilities, resulting in a decrease in the duration gap.

Financial Derivatives Transactions

The economic effects of financial derivatives are included in Farmer Mac's MVE, NES, and duration gap analyses. Farmer Mac typically enters into the following types of financial derivative transactions principally to protect against risk from the effects of market price or interest rate movements on the value of interest-earning assets, future cash flows, and debt issuance, and not for trading or speculative purposes:

•"pay-fixed" interest rate swaps, in which Farmer Mac pays fixed rates of interest to, and receives floating rates of interest from, counterparties;

•"receive-fixed" interest rate swaps, in which Farmer Mac receives fixed rates of interest from, and pays floating rates of interest to, counterparties;

•"basis swaps," in which Farmer Mac pays floating rates of interest based on one index to, and receives floating rates of interest based on a different index from, counterparties; and

•