2015 Q1 10-Q
As filed with the Securities and Exchange Commission on May 11, 2015
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2015
Commission File Number 001-14951 
 ____________________________________________________________

FEDERAL AGRICULTURAL MORTGAGE CORPORATION
(Exact name of registrant as specified in its charter)
Federally chartered instrumentality
of the United States
 
52-1578738
(State or other jurisdiction of
incorporation or organization)
 
(I.R.S. employer identification number)
 
 
 
1999 K Street, N.W., 4th Floor,
Washington, D.C.
 
20006
(Address of principal executive offices)
 
(Zip code)
(202) 872-7700
(Registrant's telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes        x                               No           o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes        x                                No          o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company.  See the definitions of "large accelerated filer," "accelerated filer" and "smaller reporting company" in Rule 12b-2 of the Exchange Act.  (Check one):
Large accelerated filer
o
Accelerated filer
x
Non-accelerated filer
o
Smaller reporting company
o
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes        o                                No           x
As of May 1, 2015, the registrant had outstanding 1,030,780 shares of Class A voting common stock, 500,301 shares of Class B voting common stock and 9,441,933 shares of Class C non-voting common stock.


Table of Contents
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


2
Table of Contents

PART I

Item 1. Financial Statements



3
Table of Contents

FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES
CONSOLIDATED BALANCE SHEETS
(unaudited)
 
As of
 
March 31,
2015
 
December 31,
2014
 
(in thousands)
Assets:
 
 
 
Cash and cash equivalents
$
1,556,246

 
$
1,363,387

Investment securities:
 

 
 

Available-for-sale, at fair value
2,139,544

 
1,938,499

Trading, at fair value
638

 
689

Total investment securities
2,140,182

 
1,939,188

Farmer Mac Guaranteed Securities:
 

 
 

Available-for-sale, at fair value
3,842,209

 
3,659,281

Held-to-maturity, at amortized cost
1,767,096

 
1,794,620

Total Farmer Mac Guaranteed Securities
5,609,305

 
5,453,901

USDA Securities:
 

 
 

Available-for-sale, at fair value
1,794,844

 
1,731,222

Trading, at fair value
37,593

 
40,310

Total USDA Securities
1,832,437

 
1,771,532

Loans:
 

 
 

Loans held for investment, at amortized cost
3,082,378

 
2,833,461

Loans held for investment in consolidated trusts, at amortized cost
457,117

 
692,478

Allowance for loan losses
(5,940
)
 
(5,864
)
Total loans, net of allowance
3,533,555

 
3,520,075

Real estate owned, at lower of cost or fair value
421

 
421

Financial derivatives, at fair value
4,808

 
4,177

Interest receivable (includes $3,422 and $9,509, respectively, related to consolidated trusts)
66,312

 
106,874

Guarantee and commitment fees receivable
38,342

 
39,462

Deferred tax asset, net
14,750

 
33,391

Prepaid expenses and other assets
53,327

 
55,413

Total Assets
$
14,849,685

 
$
14,287,821

 
 
 
 
Liabilities and Equity:
 

 
 

Liabilities:
 

 
 

Notes payable:
 

 
 

Due within one year
$
7,957,193

 
$
7,353,953

Due after one year
5,648,752

 
5,471,186

Total notes payable
13,605,945

 
12,825,139

Debt securities of consolidated trusts held by third parties
457,903

 
424,214

Financial derivatives, at fair value
95,493

 
84,844

Accrued interest payable (includes $2,740 and $5,145, respectively, related to consolidated trusts)
36,383

 
48,355

Guarantee and commitment obligation
36,537

 
37,925

Accounts payable and accrued expenses
31,433

 
81,252

Reserve for losses
3,491

 
4,263

Total Liabilities
14,267,185

 
13,505,992

Commitments and Contingencies (Note 6)


 


Equity:
 

 
 

Preferred stock:
 

 
 

Series A, par value $25 per share, 2,400,000 shares authorized, issued and outstanding
58,333

 
58,333

Series B, par value $25 per share, 3,000,000 shares authorized, issued and outstanding
73,044

 
73,044

      Series C, par value $25 per share, 3,000,000 shares authorized, issued and outstanding
73,382

 
73,382

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, 9,406,392 shares and 9,406,267 shares outstanding, respectively
9,406

 
9,406

Additional paid-in capital
114,364

 
113,559

Accumulated other comprehensive income, net of tax
51,184

 
15,533

Retained earnings
201,081

 
201,013

Total Stockholders' Equity
582,325

 
545,801

Non-controlling interest
175

 
236,028

Total Equity
582,500

 
781,829

Total Liabilities and Equity
$
14,849,685

 
$
14,287,821

The accompanying notes are an integral part of these consolidated financial statements.


4
Table of Contents

FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF OPERATIONS
(unaudited)
 
For the Three Months Ended
 
March 31, 2015
 
March 31, 2014
 
(in thousands, except per share amounts)
Interest income:
 
 
 
Investments and cash equivalents
$
2,865

 
$
5,237

Farmer Mac Guaranteed Securities and USDA Securities
33,122

 
32,846

Loans
27,964

 
14,369

Total interest income
63,951

 
52,452

Total interest expense
33,162

 
34,726

Net interest income
30,789

 
17,726

Provision for loan losses
(76
)
 
(573
)
Net interest income after provision for loan losses
30,713

 
17,153

Non-interest income:
 
 
 
Guarantee and commitment fees
3,377

 
3,784

Losses on financial derivatives and hedging activities
(3,882
)
 
(7,578
)
Gains on trading securities
362

 
655

Gains on sale of available-for-sale investment securities
6

 
15

Losses on sale of real estate owned
(1
)
 
(3
)
Other income
613

 
92

Non-interest income/(loss)
475

 
(3,035
)
Non-interest expense:
 
 
 
Compensation and employee benefits
5,693

 
4,456

General and administrative
2,823

 
2,794

Regulatory fees
600

 
594

Real estate owned operating costs, net
(1
)
 
2

(Release of)/provision for reserve for losses
(772
)
 
101

Non-interest expense
8,343

 
7,947

Income before income taxes
22,845

 
6,171

Income tax expense/(benefit)
4,231

 
(1,141
)
Net income
18,614

 
7,312

Less: Net income attributable to non-controlling interest
(5,354
)
 
(5,547
)
Net income attributable to Farmer Mac
13,260

 
1,765

Preferred stock dividends
(3,295
)
 
(952
)
Loss on retirement of preferred stock
(8,147
)
 
—

Net income attributable to common stockholders
$
1,818

 
$
813

 
 
 
 
Earnings per common share and dividends:
 
 
 
Basic earnings per common share
$
0.17

 
$
0.07

Diluted earnings per common share
$
0.16

 
$
0.07

Common stock dividends per common share
$
0.16

 
$
0.14

The accompanying notes are an integral part of these consolidated financial statements.


5
Table of Contents

FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(unaudited)
 
For the Three Months Ended
 
March 31, 2015
 
March 31, 2014
 
(in thousands)
Net income
$
18,614

 
$
7,312

Other comprehensive income, net of tax:
 
 
 
Unrealized holding gains losses on available-for-sale securities(1)
39,170

 
34,241

Unrealized losses on cash flow hedges(2)
(160
)
 
(68
)
Less reclassification adjustments included in:
 
 
 
Losses on financial derivatives and hedging activities(3)
(3,160
)
 
(3,101
)
Gains on sale of available-for-sale investment securities(4)
(4
)
 
(10
)
Other income(5)
(195
)
 
94

Other comprehensive income
35,651

 
31,156

Comprehensive income
54,265

 
38,468

Less: Comprehensive income attributable to noncontrolling interest
(5,354
)
 
(5,547
)
Comprehensive income attributable to Farmer Mac
$
48,911

 
$
32,921

(1) 
Presented net of income tax expense of $21.1 million and $18.4 million, for the three months ended March 31, 2015 and 2014, respectively.
(2) 
Presented net of income tax benefit of $0.1 million and $37,000 for the three months ended March 31, 2015 and 2014, respectively.
(3) 
Relates to the amortization of the unrealized gains on the hedged items prior to application of hedge accounting. Presented net of income tax benefit of $1.7 million for both the three months ended March 31, 2015 and 2014, respectively.
(4) 
Represents realized gains on sales of available-for-sale investment securities. Presented net of income tax benefit of $2,000 and $5,000 for the three months ended March 31, 2015 and 2014, respectively.
(5) 
Represents amortization of deferred gains related to certain available-for-sale USDA Securities and Farmer Mac Guaranteed USDA Securities. Presented net of income tax benefit of $0.1 million and income tax expense of $0.1 million for the three months ended March 31, 2015 and 2014, respectively.

The accompanying notes are an integral part of these consolidated financial statements.


6
Table of Contents

FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF EQUITY
(unaudited)
  
For the Three Months Ended
 
March 31, 2015
 
March 31, 2014
 
Shares
 
Amount
 
Shares
 
Amount
 
(in thousands)
Preferred stock:
 
 
 
 
 
 
 
Balance, beginning of period
8,400

 
$
204,759

 
2,400

 
$
58,333

Issuance of Series B preferred stock
—

 
—

 
3,000

 
73,306

Balance, end of period
8,400

 
$
204,759

 
5,400

 
$
131,639

Common stock:
 

 
 

 
 

 
 

Balance, beginning of period
10,937

 
$
10,937

 
10,886

 
$
10,886

Balance, end of period
10,937

 
$
10,937

 
10,886

 
$
10,886

Additional paid-in capital:
 

 
 

 
 

 
 

Balance, beginning of period
 

 
$
113,559

 
 

 
$
110,722

Stock-based compensation expense
 

 
839

 
 

 
713

Issuance of Class C common stock
 

 
4

 
 

 
6

Tax effect of stock-based awards
 

 
(38
)
 
 

 
36

Balance, end of period
  

 
$
114,364

 
  

 
$
111,477

Retained earnings:
 

 
 

 
 

 
 

Balance, beginning of period
 

 
$
201,013

 
 

 
$
168,877

Net income attributable to Farmer Mac
 

 
13,260

 
 

 
1,765

Cash dividends:
 

 


 
 
 


Preferred stock, Series A ($0.3672 per share in 2015 and 2014)
 
 
(881
)
 
 
 
(881
)
Preferred stock, Series B ($0.4297 per share in 2015 and $0.105 per share in 2014)
 
 
(1,289
)
 
 
 
(71
)
Preferred stock, Series C ($0.3750 per share)
 
 
(1,125
)
 
 
 
—

Common stock ($0.16 per share in 2015, $0.14 per share in 2014)
 

 
(1,750
)
 
 

 
(1,524
)
Loss on retirement of preferred stock, Farmer Mac II LLC
 
 
(8,147
)
 
 

 
—

Balance, end of period
 

 
$
201,081

 
 

 
$
168,166

Accumulated other comprehensive income:
 

 
 

 
 

 
 

Balance, beginning of period
 

 
$
15,533

 
 

 
$
(16,202
)
Other comprehensive income, net of tax
 

 
35,651

 
 

 
31,156

Balance, end of period
 

 
$
51,184

 
 

 
$
14,954

Total Stockholders' Equity
 

 
$
582,325

 
 

 
$
437,122

Non-controlling interest:
 

 
 

 
 

 
 

Balance, beginning of period
 

 
$
236,028

 
 

 
$
241,853

Redemption of preferred stock, Farmer Mac II LLC
 
 
(235,853
)
 
 
 
—

Balance, end of period
 

 
$
175

 
 

 
$
241,853

Total Equity
 
 
$
582,500

 
 

 
$
678,975


The accompanying notes are an integral part of these consolidated financial statements.


7
Table of Contents

FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF CASH FLOWS
(unaudited)
 
For the Three Months Ended
 
March 31, 2015
 
March 31, 2014
 
(in thousands)
Cash flows from operating activities:
 
 
 
Net income
$
18,614

 
$
7,312

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
1,024

 
13,983

Amortization of debt premiums, discounts and issuance costs
2,832

 
2,658

Net change in fair value of trading securities, hedged assets, and financial derivatives
532

 
3,029

Gains on sale of available-for-sale investment securities
(6
)
 
(15
)
Loss on sale of real estate owned
1

 
3

Total (release of)/provision for losses
(696
)
 
674

Deferred income taxes
(1,061
)
 
(6,009
)
Stock-based compensation expense
839

 
713

Proceeds from repayment of trading investment securities
247

 
283

Proceeds from repayment of loans purchased as held for sale
32,140

 
42,713

Net change in:
 
 
 
Interest receivable
40,562

 
43,327

Guarantee and commitment fees receivable
1,120

 
(1,318
)
Other assets
2,066

 
(2,827
)
Accrued interest payable
(11,972
)
 
(16,668
)
Other liabilities
2,793

 
4,793

Net cash provided by operating activities
89,035

 
92,651

Cash flows from investing activities:
 

 
 

Purchases of available-for-sale investment securities
(715,628
)
 
(369,120
)
Purchases of Farmer Mac Guaranteed Securities and USDA Securities
(349,364
)
 
(289,484
)
Purchases of loans held for investment
(138,929
)
 
(246,310
)
Purchases of defaulted loans
(657
)
 
(440
)
Proceeds from repayment of available-for-sale investment securities
427,507

 
370,084

Proceeds from repayment of Farmer Mac Guaranteed Securities and USDA Securities
153,095

 
244,014

Proceeds from repayment of loans purchased as held for investment
95,570

 
141,534

Proceeds from sale of available-for-sale investment securities
74,998

 
10,015

Proceeds from sale of Farmer Mac Guaranteed Securities
49,487

 
62,751

(Payments)/proceeds from sale of real estate owned
(1
)
 
11

Net cash used in investing activities
(403,922
)
 
(76,945
)
Cash flows from financing activities:
 

 
 

Proceeds from issuance of discount notes
14,784,601

 
15,566,728

Proceeds from issuance of medium-term notes
1,344,848

 
750,354

Payments to redeem discount notes
(14,439,480
)
 
(15,582,044
)
Payments to redeem medium-term notes
(912,000
)
 
(687,000
)
Excess tax benefits related to stock-based awards
26

 
36

Payments to third parties on debt securities of consolidated trusts
(15,793
)
 
(11,868
)
Proceeds from common stock issuance
4

 
6

Proceeds from Series B Preferred stock issuance
—

 
73,306

Redemption of Farmer Mac II LLC Preferred Stock
(244,000
)
 
—

Dividends paid - Non-controlling interest - preferred stock
(5,415
)
 
(5,547
)
Dividends paid on common and preferred stock
(5,045
)
 
(2,405
)
Net cash provided by financing activities
507,746

 
101,566

Net increase in cash and cash equivalents
192,859

 
117,272

Cash and cash equivalents at beginning of period
1,363,387

 
749,313

Cash and cash equivalents at end of period
$
1,556,246

 
$
866,585

 The accompanying notes are an integral part of these consolidated financial statements.


8
Table of Contents

FEDERAL AGRICULTURAL MORTGAGE CORPORATION AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(unaudited)

1.
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, 2014 consolidated balance sheet presented in this report has been derived from Farmer Mac's audited 2014 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 2014 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, 2014 filed with the SEC on March 16, 2015. That Form 10-K describes Farmer Mac's significant accounting policies, which include its policies on Principles of Consolidation; Cash and Cash Equivalents and Statements of Cash Flows; Transfers of Financial Assets and Liabilities; Investment Securities, Farmer Mac Guaranteed Securities, and USDA Securities; Loans; Securitization of Loans; Real Estate Owned; Financial Derivatives; Notes Payable; Allowance for Loan Losses and Reserve for Losses; Earnings Per Common Share; Income Taxes; Stock-Based Compensation; Comprehensive Income; Long-Term Standby Purchase Commitments; Fair Value Measurement; and Consolidation of Variable Interest Entities ("VIEs"). 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 months ended March 31, 2015.

Principles of Consolidation

The consolidated financial statements include the accounts of Farmer Mac and its three subsidiaries: (1) Farmer Mac Mortgage Securities Corporation ("FMMSC"), whose principal activities are to facilitate the purchase and issuance of Farmer Mac Guaranteed Securities; (2) Farmer Mac II LLC, whose principal activity is the operation of substantially all of the business related to the USDA Guarantees line of business – primarily the acquisition of USDA Securities; and (3) Contour Valuation Services, LLC, whose principal activity is to provide appraisal services related to agricultural real estate.  All inter-company balances and transactions have been eliminated in consolidation. The consolidated financial statements also include the accounts of VIEs in which Farmer Mac determined itself to be the primary beneficiary.  

The following tables present, by line of business, details about the consolidation of VIEs:



9
Table of Contents

Table 1.1
 
Consolidation of Variable Interest Entities
 
As of March 31, 2015
 
Farm & Ranch
 
USDA Guarantees
 
Rural Utilities
 
Institutional Credit
 
Corporate
 
Total
 
(in thousands)
On-Balance Sheet:
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
Loans held for investment in consolidated trusts, at amortized cost
$
457,117

 
$
—

 
$
—

 
$
—

 
$
—

 
$
457,117

Debt securities of consolidated trusts held by third parties(1)
457,903

 
—

 
—

 
—

 
—

 
457,903

   Unconsolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
   Farmer Mac Guaranteed Securities:
 
 
 
 
 
 
 
 
 
 
 
      Carrying value(2)
—

 
23,505

 
—

 
32,367

 
—

 
55,872

      Maximum exposure to loss(3)
—

 
23,098

 
—

 
30,000

 
—

 
53,098

   Investment securities:
 
 
 
 
 
 
 
 
 
 
 
        Carrying value(4)
—

 
—

 
—

 
—

 
479,548

 
479,548

        Maximum exposure to loss(3)(4)
—

 
—

 
—

 
—

 
482,757

 
482,757

Off-Balance Sheet:
 
 
 
 
 
 
 
 
 
 
 
 Unconsolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
   Farmer Mac Guaranteed Securities:
 
 
 
 
 
 
 
 
 
 
 
      Maximum exposure to loss(3)(5)
598,236

 
12,847

 
—

 
970,000

 
—

 
1,581,083

(1) 
Includes borrower remittances of $0.8 million. The borrower remittances have not been passed through to third party investors as of March 31, 2015.
(2) 
Includes $0.4 million of unamortized premiums and discounts and fair value adjustments related to the USDA Guarantees line of business. Includes fair value adjustments related to the Institutional Credit line of business of $2.4 million.
(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, asset-backed securities, and government-sponsored enterprise ("GSE")-guaranteed mortgage-backed securities.
(5) 
The amount under the Farm & Ranch line of business relates to unconsolidated trusts where Farmer Mac determined it was not the primary beneficiary due to shared power with an unrelated party.




10
Table of Contents


 
Consolidation of Variable Interest Entities
 
As of December 31, 2014
 
Farm & Ranch
 
USDA Guarantees
 
Rural Utilities
 
Institutional Credit
 
Corporate
 
Total
 
(in thousands)
On-Balance Sheet:
 
 
 
 
 
 
 
 
 
 
 
Consolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
Loans held for investment in consolidated trusts, at amortized cost(1)
$
421,355

 
$
—

 
$
271,123

 
$
—

 
$
—

 
$
692,478

Debt securities of consolidated trusts held by third parties(2)
424,214

 
—

 
—

 
—

 
—

 
424,214

   Unconsolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
   Farmer Mac Guaranteed Securities:
 
 
 
 
 
 
 
 
 
 
 
      Carrying value(3)
—

 
27,620

 
—

 
32,415

 
—

 
60,035

      Maximum exposure to loss(4)
—

 
27,832

 
—

 
30,000

 
—

 
57,832

   Investment securities:
 
 
 
 
 
 
 
 
 
 
 
        Carrying value(5)
—

 
—

 
—

 
—

 
409,657

 
409,657

        Maximum exposure to loss(4)(5)
—

 
—

 
—

 
—

 
412,690

 
412,690

Off-Balance Sheet:
 
 
 
 
 
 
 
 
 
 
 
 Unconsolidated VIEs:
 
 
 
 
 
 
 
 
 
 
 
   Farmer Mac Guaranteed Securities:
 
 
 
 
 
 
 
 
 
 
 
      Maximum exposure to loss(4)(6)
636,086

 
13,978

 
—

 
970,000

 
—

 
1,620,064

(1) 
Includes unamortized premiums related to the Rural Utilities line of business of $3.7 million.
(2) 
Includes borrower remittances of $2.9 million, which have not been passed through to third party investors as of December 31, 2014.
(3) 
Includes $0.2 million of unamortized premiums and discounts and fair value adjustments related to the USDA Guarantees line of business. Includes fair value adjustments related to the Institutional Credit line of business of $2.4 million.
(4) 
Farmer Mac uses unpaid principal balance and the outstanding face amount of investment securities to represent maximum exposure to loss.
(5) 
Includes auction-rate certificates, asset-backed securities, and government-sponsored enterprise ("GSE")-guaranteed mortgage-backed securities.
(6) 
The amount under the Farm & Ranch line of business relates to unconsolidated trusts where Farmer Mac determined it was not the primary beneficiary due to shared power with an unrelated party.



(a)
Statements of Cash Flows

The following table sets forth information regarding certain non-cash transactions for the three months ended March 31, 2015 and 2014:

Table 1.2

 
For the Three Months Ended
 
March 31, 2015
 
March 31, 2014
 
(in thousands)
Non-cash activity:
 
 
 
Loans acquired and securitized as Farmer Mac Guaranteed Securities
$
49,487

 
$
62,751

Consolidation of Farm & Ranch Guaranteed Securities from off-balance sheet to loans held for investment in consolidated trusts and to debt securities of consolidated trusts held by third parties
49,487

 
62,751

Purchases of securities - traded, not yet settled
14,915

 
—

Issuance costs on the retirement of Farmer Mac II LLC Preferred Stock
8,147

 
—

Transfers of available-for-sale Farmer Mac Guaranteed Securities to held-to-maturity
—

 
1,612,086




11
Table of Contents

On January 1, 2014, Farmer Mac transferred $1.6 billion of Farmer Mac Guaranteed Securities from available-for-sale to held-to-maturity because Farmer Mac determined it has the ability and intent to hold these securities until maturity or payoff. Farmer Mac transferred these securities at fair value which reflected an unrealized holding gain of $22.3 million. Farmer Mac accounts for held-to-maturity securities at amortized cost. The unrealized holding gain is being amortized out of accumulated other comprehensive income over the remaining life of the transferred securities.

(b)
Earnings Per Common Share

Basic earnings per common share ("EPS") is based on the weighted-average number of shares of common stock outstanding.  Diluted earnings per common share is based on the weighted-average number of shares of common stock outstanding adjusted to include all potentially dilutive common stock options, stock appreciation rights ("SARs"), and non-vested restricted stock awards.  The following schedule reconciles basic and diluted EPS for the three months ended March 31, 2015 and 2014:

Table 1.3

 
For the Three Months Ended
 
March 31, 2015
 
March 31, 2014
 
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
$
1,818

 
10,938

 
$
0.17

 
$
813

 
10,887

 
$
0.07

Effect of dilutive securities(1):
 
 
 
 
 
 
 

 
 

 
 
Stock options, SARs and restricted stock
—

 
393

 
(0.01
)
 
—

 
459

 
—

Diluted EPS
$
1,818

 
11,331

 
$
0.16

 
$
813

 
11,346

 
$
0.07

(1) 
For the three months ended March 31, 2015 and 2014, stock options and SARs of 201,401 and 32,983, 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 March 31, 2015 and 2014, contingent shares of non-vested restricted stock of 30,514 and 31,594, respectively, were outstanding but not included in the computation of diluted earnings per share of common stock because performance conditions have not yet been met.

(c) New Accounting Standards

In February 2015, the FASB issued ASU 2015-02, "Amendments to the Consolidation Analysis." This update modifies the evaluation of whether limited partnerships and similar legal entities are VIEs or voting interest entities and eliminates the presumption that a general partner should consolidate a limited partnership. It also affects the consolidation analysis of reporting entities that are involved with VIEs, particularly those that have fee arrangements and related party relationships. ASU 2015-02 is effective for interim and annual periods beginning after December 15, 2015. The adoption of the new guidance will not have a material effect on Farmer Mac's financial position, results of operations, or cash flows.

(d)
Reclassifications

Beginning January 1, 2015, Farmer Mac classified all of the income from Farmer Mac Guaranteed Securities that it holds in its portfolio as interest income. Prior to January 1, 2015, Farmer Mac classified a portion of the income from those securities, $2.7 million in first quarter 2014, as guarantee and commitment fees. This change in classification does not affect the timing or amount of income recognized from these securities. The corresponding guarantee and commitment fee receivable balance as


12
Table of Contents

of December 31, 2014 also was reclassified to accrued interest receivable. Certain reclassifications of prior period information, including the aforementioned change, were made to conform to the current period presentation.



2.
INVESTMENT SECURITIES

The following tables set forth information about Farmer Mac's investment securities as of March 31, 2015 and December 31, 2014:
 
Table 2.1

 
As of March 31, 2015
 
Amount Outstanding
 
Unamortized Premium/(Discount)
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair Value
 
(in thousands)
Available-for-sale:
 
 
 
 
 
 
 
 
 
 
 
Floating rate auction-rate certificates backed by Government guaranteed student loans
$
46,600

 
$
—

 
$
46,600

 
$
—

 
$
(6,221
)
 
$
40,379

Floating rate asset-backed securities
100,377

 
(352
)
 
100,025

 
153

 
(46
)
 
100,132

Floating rate corporate debt securities
10,000

 
—

 
10,000

 
85

 
—

 
10,085

Fixed rate corporate debt securities
20,000

 
(5
)
 
19,995

 
35

 
—

 
20,030

Floating rate Government/GSE guaranteed mortgage-backed securities
727,430

 
3,438

 
730,868

 
4,373

 
(669
)
 
734,572

Fixed rate GSE guaranteed mortgage-backed securities(1)
811

 
3,436

 
4,247

 
3,882

 
—

 
8,129

Floating rate GSE subordinated debt
70,000

 
—

 
70,000

 
—

 
(4,159
)
 
65,841

Fixed rate senior agency debt
297,806

 
(34
)
 
297,772

 
23

 
(68
)
 
297,727

Fixed rate U.S. Treasuries
862,194

 
483

 
862,677

 
55

 
(83
)
 
862,649

Total available-for-sale
2,135,218

 
6,966

 
2,142,184

 
8,606

 
(11,246
)
 
2,139,544

Trading:
 
 
 
 
 

 
 

 
 

 
 

Floating rate asset-backed securities
2,621

 
—

 
2,621

 
—

 
(1,983
)
 
638

Total investment securities
$
2,137,839

 
$
6,966

 
$
2,144,805

 
$
8,606

 
$
(13,229
)
 
$
2,140,182

(1) 
Fair value includes $7.2 million of an interest-only security with a notional amount of $152.4 million.







13
Table of Contents

 
As of December 31, 2014
 
Amount Outstanding
 
Unamortized Premium/(Discount)
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair Value
 
(in thousands)
Available-for-sale:
 
 
 
 
 
 
 
 
 
 
 
Floating rate auction-rate certificates backed by Government guaranteed student loans
$
46,600

 
$
—

 
$
46,600

 
$
—

 
$
(6,024
)
 
$
40,576

Floating rate asset-backed securities
100,730

 
(74
)
 
100,656

 
283

 
(37
)
 
100,902

Floating rate corporate debt securities
10,000

 
—

 
10,000

 
91

 
—

 
10,091

Fixed rate corporate debt securities
30,000

 
(10
)
 
29,990

 
35

 
—

 
30,025

Floating rate Government/GSE guaranteed mortgage-backed securities
605,053

 
3,431

 
608,484

 
4,712

 
(443
)
 
612,753

Fixed rate GSE guaranteed mortgage-backed securities(1)
853

 
3,542

 
4,395

 
3,807

 
—

 
8,202

Floating rate GSE subordinated debt
70,000

 
—

 
70,000

 
—

 
(3,680
)
 
66,320

Fixed rate senior agency debt
18,806

 
130

 
18,936

 
3

 
—

 
18,939

Floating rate U.S. Treasuries
75,000

 
(10
)
 
74,990

 
—

 
(11
)
 
74,979

Fixed rate U.S. Treasuries
975,194

 
462

 
975,656

 
72

 
(16
)
 
975,712

Total available-for-sale
1,932,236

 
7,471

 
1,939,707

 
9,003

 
(10,211
)
 
1,938,499

Trading:
 
 
 
 
 

 
 

 
 

 
 

Floating rate asset-backed securities
2,868

 
—

 
2,868

 
—

 
(2,179
)
 
689

Total investment securities
$
1,935,104

 
$
7,471

 
$
1,942,575

 
$
9,003

 
$
(12,390
)
 
$
1,939,188

(1) 
Fair value includes $7.3 million of an interest-only security with a notional amount of $152.4 million.

During the three months ended March 31, 2015, Farmer Mac received proceeds of $75.0 million from the sale of securities from its available-for-sale investment portfolio, resulting in gross realized gains of $6,000, compared to proceeds of $10.0 million for the same period in 2014, resulting in gross realized gains of $15,000.

As of March 31, 2015 and December 31, 2014, unrealized losses on available-for-sale investment securities were as follows:

Table 2.2

 
As of March 31, 2015
 
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)
Floating rate auction-rate certificates backed by Government guaranteed student loans
$
—

 
$
—

 
$
40,379

 
$
(6,221
)
Floating rate asset-backed securities
22,971

 
(46
)
 
640

 
—

Floating rate Government/GSE guaranteed mortgage-backed securities
121,071

 
(244
)
 
125,546

 
(425
)
Floating rate GSE subordinated debt
—

 
—

 
65,841

 
(4,159
)
Fixed rate senior agency debt
121,950

 
(68
)
 
—

 
—

Fixed rate U.S. Treasuries
662,276

 
(83
)
 
—

 
—

Total
$
928,268

 
$
(441
)
 
$
232,406

 
$
(10,805
)



14
Table of Contents

 
As of December 31, 2014
 
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)
Floating rate auction-rate certificates backed by Government guaranteed student loans
$
—

 
$
—

 
$
40,576

 
$
(6,024
)
Floating rate asset-backed securities
19,388

 
(37
)
 
—

 
—

Floating rate Government/GSE guaranteed mortgage-backed securities
76,100

 
(164
)
 
76,867

 
(279
)
Floating rate GSE subordinated debt
—

 
—

 
66,320

 
(3,680
)
Floating rate U.S. Treasuries
74,980

 
(11
)
 
—

 
—

Fixed rate U.S. Treasuries
325,033

 
(16
)
 
—

 
—

Total
$
495,501

 
$
(228
)
 
$
183,763

 
$
(9,983
)

The unrealized losses presented above are principally due to a general widening of credit spreads from the dates of acquisition to March 31, 2015 and December 31, 2014, 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 March 31, 2015 and December 31, 2014 , all of the investment securities in an unrealized loss position either were backed by the full faith and credit of the U.S. government or had credit ratings of at least "AA+," except one that was rated "A-." The unrealized losses were on 44 and 35 individual investment securities as of March 31, 2015 and December 31, 2014, respectively.

As of March 31, 2015, 17 of the securities in loss positions had been in loss positions for more than 12 months and had a total unrealized loss of $10.8 million. As of December 31, 2014, 15 of the securities in loss positions had been in loss positions for more than 12 months and had a total unrealized loss of $10.0 million.  Securities in unrealized loss positions for 12 months or longer have a fair value as of March 31, 2015 that is, on average, approximately 96 percent of their amortized cost basis. Farmer Mac believes that all of these unrealized losses are recoverable within a reasonable period of time by way of changes in credit spreads or maturity. Accordingly, Farmer Mac has concluded that none of the unrealized losses on these available-for-sale investment securities represents other-than-temporary impairment as of March 31, 2015 and December 31, 2014. Farmer Mac does not intend to sell these securities and it is not more likely than not that Farmer Mac will be required to sell the securities before recovery of the amortized cost basis.

Farmer Mac did not own any held-to-maturity investment securities as of March 31, 2015 and December 31, 2014. As of March 31, 2015, Farmer Mac owned trading investment securities with an amortized cost of $2.6 million, a fair value of $0.6 million, and a weighted average yield of 4.26 percent. As of December 31, 2014, Farmer Mac owned trading investment securities with an amortized cost of $2.9 million, a fair value of $0.7 million, and a weighted average yield of 4.24 percent.



15
Table of Contents

The amortized cost, fair value, and weighted average yield of available-for-sale investment securities by remaining contractual maturity as of March 31, 2015 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 March 31, 2015
 
Available-for-Sale Securities
 
Amortized
Cost
 
Fair Value
 
Weighted-
Average
Yield
 
(dollars in thousands)
Due within one year
$
1,170,447

 
$
1,170,389

 
0.29%
Due after one year through five years
114,708

 
115,551

 
1.19%
Due after five years through ten years
252,261

 
252,759

 
0.86%
Due after ten years
604,768

 
600,845

 
0.93%
Total
$
2,142,184

 
$
2,139,544

 
0.58%


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 March 31, 2015 and December 31, 2014:

Table 3.1

 
As of March 31, 2015
 
Unpaid Principal Balance
 
Unamortized Premium/(Discount)
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair Value
 
(in thousands)
Held-to-maturity:
 
 
 
 
 
 
 
 
 
 
 
AgVantage
$
1,761,169

 
$
5,927

 
$
1,767,096

 
$
15,980

 
$
—

 
$
1,783,076

 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale:
 
 
 
 
 
 
 
 
 
 
 
AgVantage
$
3,782,235

 
$
—

 
$
3,782,235

 
$
54,813

 
$
(18,344
)
 
$
3,818,704

Farmer Mac Guaranteed USDA Securities
23,098

 
(361
)
 
22,737

 
768

 
—

 
23,505

Total Farmer Mac Guaranteed Securities
3,805,333

 
(361
)
 
3,804,972

 
55,581

 
(18,344
)
 
3,842,209

USDA Securities
1,743,274

 
2,696

 
1,745,970

 
48,929

 
(55
)
 
1,794,844

Total available-for-sale
$
5,548,607

 
$
2,335

 
$
5,550,942

 
$
104,510

 
$
(18,399
)
 
$
5,637,053

Trading:
 
 
 
 
 

 
 

 
 

 
 

USDA Securities
$
35,699

 
$
2,578

 
$
38,277

 
$
120

 
$
(804
)
 
$
37,593




16
Table of Contents

 
As of December 31, 2014
 
Unpaid Principal Balance
 
Unamortized Premium/(Discount)
 
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair Value
 
(in thousands)
Held-to-maturity:
 
 
 
 
 
 
 
 
 
 
 
AgVantage
$
1,785,340

 
$
9,280

 
$
1,794,620

 
$
6,211

 
$
(255
)
 
$
1,800,576

Available-for-sale:
 
 
 
 
 
 
 
 
 
 
 
AgVantage
$
3,625,073

 
$
—

 
$
3,625,073

 
$
36,442

 
$
(29,853
)
 
$
3,631,662

Farmer Mac Guaranteed USDA Securities
27,831

 
(442
)
 
27,389

 
237

 
(7
)
 
27,619

Total Farmer Mac Guaranteed Securities
3,652,904

 
(442
)
 
3,652,462

 
36,679

 
(29,860
)
 
3,659,281

USDA Securities
1,717,813

 
3,162

 
1,720,975

 
11,850

 
(1,603
)
 
1,731,222

Total available-for-sale
$
5,370,717

 
$
2,720

 
$
5,373,437

 
$
48,529

 
$
(31,463
)
 
$
5,390,503

Trading:
 
 
 
 
 

 
 

 
 

 
 

USDA Securities
$
38,412

 
$
2,748

 
$
41,160

 
$
114

 
$
(964
)
 
$
40,310


As of March 31, 2015 and December 31, 2014, unrealized losses on held-to-maturity and available-for-sale on-balance sheet Farmer Mac Guaranteed Securities and USDA Securities were as follows:

Table 3.2

 
As of March 31, 2015
 
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)
Available-for-sale:
 
 
 
 
 
 
 
AgVantage
$
690,567

 
$
(11,400
)
 
648,409

 
$
(6,944
)
USDA Securities
—

 
—

 
101,882

 
(55
)
Total available-for-sale
$
690,567

 
$
(11,400
)

$
750,291


$
(6,999
)

 
December 31, 2014
 
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
$
547

 
$
(1
)
 
$
49,745

 
$
(254
)
 
 
 
 
 
 
 
 
Available-for-sale:
 
 
 
 
 
 
 
AgVantage
$
685,131

 
$
(13,115
)
 
$
1,460,089

 
$
(16,738
)
Farmer Mac Guaranteed USDA Securities
3,720

 
(7
)
 
—

 
—

USDA Securities
264,375

 
(1,549
)
 
97,817

 
(54
)
Total available-for-sale
$
953,226

 
$
(14,671
)
 
$
1,557,906

 
$
(16,792
)


17
Table of Contents


The unrealized losses presented above are principally due to higher interest rates from the date of acquisition to March 31, 2015 and December 31, 2014, as applicable. The credit exposure related to Farmer Mac's USDA Guarantees line of business is covered by the full faith and credit guarantee of the United States. The unrealized losses from AgVantage securities were on 9 available-for-sale securities as of March 31, 2015. There were no unrealized losses from held-to-maturity AgVantage securities as of March 31, 2015. The unrealized losses from AgVantage securities were on 2 held-to-maturity securities and 23 available-for-sale securities as of December 31, 2014. As of March 31, 2015, 3 available-for-sale AgVantage securities had been in a loss position for more than 12 months with a total unrealized loss of $6.9 million. As of December 31, 2014, 15 available-for-sale AgVantage securities had been in a loss position for more than 12 months with a total unrealized loss of $16.7 million. AgVantage® is a registered trademark of Farmer Mac used to designate Farmer Mac Guaranteed Securities that are general obligations of lenders secured by pools of eligible loans, with such Farmer Mac Guaranteed Securities referred to herein as AgVantage securities. Each AgVantage security backed by agricultural mortgages requires some level of overcollateralization, or, in the case of rural utilities loans, 100 percent collateralization, and is secured by eligible loans of the issuing institution with a requirement that delinquent loans be removed from the collateral pool and then replaced with current eligible loans. Thus, Farmer Mac does not believe it will realize any of the losses presented above. Farmer Mac has concluded that none of the unrealized losses on its held-to-maturity Farmer Mac Guaranteed Securities and available-for-sale Farmer Mac Guaranteed Securities and USDA Securities are other-than-temporary impairment as of either March 31, 2015 or December 31, 2014.  Farmer Mac does not intend to sell these securities, and it is not more likely than not that Farmer Mac will be required to sell the securities before recovery of the amortized cost basis.

During the three months ended March 31, 2015 and 2014, Farmer Mac realized no gains or losses from the sale of Farmer Mac Guaranteed Securities and USDA Securities.

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 March 31, 2015 are set forth below. The balances presented are based on their final maturities, although the actual maturities may differ due to prepayments of the underlying assets.



18
Table of Contents

Table 3.3

 
As of March 31, 2015
 
Available-for-Sale Securities
 
Amortized
Cost
 
Fair Value
 
Weighted-
Average
Yield
 
(dollars in thousands)
Due within one year
$
563,745

 
$
571,986

 
2.78
%
Due after one year through five years
1,181,719

 
1,201,725

 
1.35
%
Due after five years through ten years
1,467,700

 
1,497,617

 
1.75
%
Due after ten years
2,337,778

 
2,365,725

 
2.44
%
Total
$
5,550,942

 
$
5,637,053

 
2.06
%
 
As of March 31, 2015
 
Held-to-Maturity Securities
 
Amortized
Cost
 
Fair Value
 
Weighted-
Average
Yield
 
(dollars in thousands)
Due within one year
$
631,918

 
$
632,923

 
2.73
%
Due after one year through five years
1,135,178

 
1,150,153

 
2.28
%
Total
$
1,767,096

 
$
1,783,076

 
2.43
%

As of March 31, 2015, Farmer Mac owned trading USDA Securities with an amortized cost of $38.3 million, a fair value of $37.6 million, and a weighted average yield of 5.54 percent. As of December 31, 2014, Farmer Mac owned trading USDA Securities with an amortized cost of $41.2 million, a fair value of $40.3 million, and a weighted average yield of 5.60 percent.  

4.
FINANCIAL DERIVATIVES

Farmer Mac enters into financial derivative transactions principally 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 a benchmark interest rate (i.e., LIBOR). Other financial derivatives are designated as cash flow hedges to mitigate the volatility of future interest rate payments on floating rate debt.




19
Table of Contents

The following tables summarize information related to Farmer Mac's financial derivatives on a gross basis without giving consideration to master netting arrangements as of March 31, 2015 and December 31, 2014 and the effects of financial derivatives on the consolidated statements of operations for three months ended March 31, 2015 and 2014:

Table 4.1

  
As of March 31, 2015
  
 
 
Fair Value
 
Weighted-
Average
Pay Rate
 
Weighted-
Average Receive Rate
 
Weighted-
Average
Forward
Price
 
Weighted-
Average
Remaining
Life (in years)
  
Notional Amount
 
Asset
 
(Liability)
 
 
 
 
  
(dollars in thousands)
Fair value hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
$
1,014,915

 
$
—

 
$
(37,478
)
 
2.46%
 
0.26%
 
 
 
3.83
Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
37,000

 
—

 
(751
)
 
2.43%
 
0.57%
 
 
 
8.30
No hedge designation:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
476,113

 
19

 
(56,602
)
 
4.19%
 
0.26%
 
 
 
6.99
Receive fixed non-callable
4,042,209

 
4,305

 
(230
)
 
0.15%
 
0.30%
 
 
 
0.57
Receive fixed callable
632,565

 
238

 
(277
)
 
0.13%
 
1.02%
 
 
 
2.80
Basis swaps
1,130,000

 
247

 
(262
)
 
0.12%
 
0.31%
 
 
 
2.61
Agency forwards
34,827

 
—

 
(132
)
 
 
 
 
 
101.41

 
 
Treasury futures
2,900

 
—

 
(5
)
 
 
 
 
 
128.73

 
 
Credit valuation adjustment
 
 
(1
)
 
244

 
 
 
 
 
 
 
 
Total financial derivatives
$
7,370,529

 
$
4,808

 
$
(95,493
)
 
  
 
  
 
 
 
  
Collateral pledged
 
 
—

 
48,870

 
 
 
 
 
 
 
 
Net amount
 
 
$
4,808

 
$
(46,623
)
 
 
 
 
 
 
 
 


20
Table of Contents

  
As of December 31, 2014
  

 
Fair Value
 
Weighted-
Average
Pay Rate
 
Weighted-
Average Receive Rate
 
Weighted-
Average
Forward
Price
 
Weighted-
Average
Remaining
Life (in years)
  
Notional Amount
 
Asset
 
(Liability)