Company: AGM-PH
Filing Date: 2025-08-07
Form Type: 10-Q
Source: 0000845877-25-000204
Chunk: 321

Company: FEDERAL AGRICULTURAL MORTGAGE CORP
Filing Date: 2025-08-07
Form: 10-Q
Item: Part I, Item 2
Chunk 321
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 gap is calculated using the net estimated durations of Farmer Mac's interest-earning assets, debt, and financial derivatives. Duration gap quantifies the extent to which estimated fair value sensitivities are matched for interest-earning assets, debt and financial derivatives. Duration gap provides a relatively concise measure of the interest rate risk inherent in Farmer Mac's outstanding portfolio.

A positive duration gap denotes that the duration of Farmer Mac's interest-earning assets is greater than the duration of its debt and financial derivatives. A positive duration gap indicates that with small changes in interest rate movements the fair value change of Farmer Mac's interest-earning assets is more sensitive than the fair value change of its debt and financial derivatives. Conversely, a negative duration gap indicates that with small changes in interest rate movements the fair value change of Farmer Mac's interest-earning assets are less sensitive than the fair value change of its debt and financial derivatives. A duration gap of zero indicates that with small changes in interest rate movements the fair value change of Farmer Mac's interest-earning assets is effectively offset by the fair value change of its debt and financial derivatives.

Each of the interest rate risk metrics is quantified using asset/liability models and derived based on management's best estimates of factors such as implied forward interest rates across the yield curve, interest rate volatility, and timing of asset prepayments and callable debt redemptions. Accordingly, these metrics are estimates rather than precise measurements. Actual results may 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.

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

Table 31 Percentage Change in MVE from Base CaseInterest Rate ScenarioAs of June 30, 2025As of December 31, 2024+100 basis points(3.8)%(4.0)%-100 basis points3.7 %3.6 %

 Percentage Change in NES from Base CaseInterest Rate ScenarioAs of June 30, 2025As of December 31, 2024+100 basis points(0.5)%(0.8)%-100 basis points1.8 %1.6 %

As of June 30, 2025,