FCSIC SOW - Appendix A - Day 1 Reports - Jan 2020.pdf

Notes:

Farm Credit System Insurance Corporation

Preliminary Key Statistics 9/30/19 12/31/18

2% SECURE BASE AMOUNT (SBA)* $ XXX billion $ XXX billion

UNALLOCATED AND ALLOCATED INSURANCE FUND $ XXX billion $ XXXX billion

UNALLOCATED AND ALLOCATED INSURANCE FUND

AMOUNT ABOVE (BELOW) 2% SBA*

$ XXX million $ XX million

UNALLOCATED AND ALLOCATED INSURANCE FUND

AS % OF ADJUSTED INSURED DEBT*

X.0X percent X.00 percent

TOTAL CORPORATION ASSETS $ X.XX billion $ X.XX billion

TOTAL INVESTMENTS $ X.XX billion $ X.XX billion

NET INCOME (LOSS) YEAR TO DATE $ XXX million $ XXX million

PREMIUM INCOME YEAR TO DATE** $ XXX million $ XXX million

INVESTMENT INCOME YEAR TO DATE

(includes inflation adjustment, and amortization of premiums and discounts)

$ XX million $ XX million

OUTSTANDING INSURED OBLIGATIONS $ XXX billion $ XXX billion

Attachment 1

8/31/19 to 9/30/19 YEAR TO DATE 2019 9/30/18 to 9/30/19

Change Change $ Change % Change % Change

BANK 30-Sep 31-Aug to to 31-Dec from from Annualized 30-Sep 30-Sep 12 Month 2019 2019 30-Sep 30-Sep 2018 31-Dec 31-Dec 2018 2019 Change

Bank 1 31,914.7 31,262.8 651.9 2.1% 30,381.7 1,533.0 5.0% 6.7% 30,164.5 31,914.7 5.8%

Bank 2 105,024.3 104,205.9 818.4 0.8% 102,198.9 2,825.4 2.8% 3.7% 100,289.8 105,024.3 4.7%

Bank 3 122,541.8 123,570.2 (1,028.4) -0.8% 126,450.5 (3,908.7) -3.1% -4.1% 115,910.0 122,541.8 5.7%

Bank 4 23,359.9 23,209.9 150.0 0.6% 22,497.4 862.5 3.8% 5.1% 22,281.7 23,359.9 4.8%

TOTAL

OBLIGATIONS * 282,840.7$ 282,248.8$ 591.9 0.2% 281,528.5$ 1,312.2 0.5% 0.6% 268,646.0$ 282,840.7$ 5.3%

* Source Quarter-end data: FCA call reports which include amortization of premiums and discounts.

Monthly and preliminary quarter-end data: Funding Corporation system debt obligations report at par value.

Preliminary Trend Analysis of Outstanding Insured Obligations 12 Months Ending September 30, 2019

($ in Millions)

Attachment 2

Preliminary Monthly Change in Outstanding Insured Obligations 2016 – 2019

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$0

-$XX -

$XX -

$XX -

$XX -

$XX -

$XX -

$XX -

$XX

Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

2019 2018 2017 2016

($ in millions)

Comparative Growth Rate Annualized Total Outstanding Dec 18 – Sep 19 $1,312 0.5% 0.6% $282,841 Dec 17 – Sep 18 $3,368 1.3% 1.7% $268,646 Dec 16 – Sep 17 $90 0.0% 0.0% $257,920 Dec 15 – Sep 16 $8,674 3.6% 4.8% $251,910

Attachment 3

Jan

Information contained within this page shoudl represent a bar chart of the growth by month, for the last four years.

Preliminary Change in Outstanding Insured Obligations 2018 – 2019

Information on this page should be a bar chart of growth outstanding, by month, from last year compared to with preliminary results of the current year.

-$4,000 -$3,500 -$3,000 -$2,500 -$2,000 -$1,500 -$1,000

-$500 $0

$500 $1,000 $1,500 $2,000 $2,500 $3,000 $3,500 $4,000 $4,500 $5,000 $5,500 $6,000 $6,500

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

2019 2018

($ in millions)

Comparative Growth Rate Annualized Total Outstanding Dec 18 – Sep 19 $1,312 0.5% 0.6% $282,841 Dec 17 – Sep 18 $3,368 1.3% 1.7% $268,646

Attachment 4

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Preliminary Trend of the Unallocated Insurance Fund Relative to the 2% Secure Base Amount

September 30, 2019 Percent of

Insured Debt

(1) A change in the secure base amount (SBA) calculation methodology requested by the Insurance Corporation was included in the Food, Conservation and Energy Act of 2008. The methodology allows the deduction of Federal and state-guaranteed investments from the SBA in a manner similar to that used for Federal and state-guaranteed loans.

(2) At year-end, based on a statutory formula, excess funds above the SBA may be transferred to Allocated Insurance Reserve Accounts (AIRAs). The AIRAs balance is recorded as part of the Insurance Fund and is available to satisfy insurance obligations until the Insurance Corporation disburses payment to the accountholders (Farm Credit Banks and FAC stockholders). In four distributions between February 2010 and March 2019, $603 million in excess funds were paid to accountholders. As of March 2018, the FAC stockholders were fully reimbursed and so no further allocation were made to this AIRA account. In March 2019, $66 million in excess funds were distributed to the remaining accountholders.

2.09%

Attachment 5

Preliminary

9/30/2018 12/31/2018 3/31/2019 6/30/2019 9/30/2019

Principal XXX,XXX XXX,XXX XXX,XXX XXX,XXX XXX,XXX Interest YYY YYY YYY YYY Total Principal and Interest XXX,XXX XXX,XXX XX,XXX XXX,XXX XXX,XX

Less:

90% Fed. Guar. Loans X X (X) (X) (X) 80% State Guar. Loans (XX) (X) (X) 90% Fed. Guar. Investments (X) (X) (X) 80% State Guar. Investments -

Total Deductions (X) (x) (X)

X

(X)

(X)

(X)

X X

(X)

(X)(

(X)

XX XX

X X X X X (2%)

X X X X X

X X X X X

X.XX% X.XX% X.XX% X.XX% X.XX%

X.XX% X.XX% X.XX% X.XX% X.XX%

Assumptions:

DEBT OUTSTANDING

Preliminary Secure Base Amount Calculation Results as of September 30, 2019

($ in Millions)

FINAL

ADJ. INSURED DEBT

UNALLOCATED AND ALLOCATED INS FUND AS %

ADJ. INSURED DEBT

SECURE BASE AMOUNT

UNALLOCATED INSURANCE

FUND BALANCE*

UNALLOCATED AND ALLOCATED

INSURANCE FUND BALANCE

UNALLOCATED INS. FUND AS %

ADJ. INSURED DEBT

Attachment 6

YYY

$0 $100,000 $200,000 $300,000 $400,000 $500,000 $600,000 $700,000 $800,000 $900,000 $1,000,000 $1,100,000 $1,200,000 $1,300,000 $1,400,000 $1,500,000 $1,600,000 $1,700,000 $1,800,000 $1,900,000 $2,000,000 $2,100,000 $2,200,000 $2,300,000 $2,400,000 $2,500,000 $2,600,000 $2,700,000 $2,800,000 $2,900,000 $3,000,000 $3,100,000 $3,200,000 $3,300,000 $3,400,000 $3,500,000 $3,600,000 $3,700,000 $3,800,000 $3,900,000 $4,000,000 $4,100,000 $4,200,000 $4,300,000

TOTAL

Supplies/Materials/Equipment

Consulting/Other Services

FCA Reimbursables

Printing Reproduction

Rent/ Communication/ Misc

Travel

Personnel Compensation

Operating Expenses Were Under Budget

Expenses Budget

Attachment 7

< 1 Yr1 to 2 Yrs

2 to 3 Yrs

3 to 4 Yrs

4 to 5 Yrs

5 to 10 Yrs

Investment Portfolio of $4.69 Billion June 30, 2019 ($ in Millions)

Average Yield for 2019 is X.XX %Current weighted average maturity of portfolio: X.XX years Attachment 8

Investment Portfolio Balance $4.93 Billion as of September 27, 2019

< 1 year, 1 to 2 years, 99 2 to 3 years, 3 to 4 years, $ 2%

4 to 5 years, 5 to 10 years, $- , 0%

Attachment 9

Market Value of the Insurance Fund vs Book Value of the Insurance Fund

-$XX

-$XX

-$XX

$XX

$XX

$XX

$XX

$XX

Attachment 10

This table shows investment amounts versus book value.

Date Overnight Below MV Above MV Market Value

Available to Liquidite without a Loss

10/1/2018 $XX $XX $XX $XX $XXX

10/15/2018 $XX $XX $XX $XX

11/30/2018 $XX $XX $XX $XX

12/4/2018 $XX $XX $XX $XX

12/15/2018 $XX $XX $XX $XX

12/31/2018 $XX $XX $XX $XX $XX

1/31/2019 $XX $XX $XX $XX $XX

2/28/2019 $XX $XX $XX $XX $XX

3/31/2019 $XX $XX $XX $XX $XX

4/30/2019 $XX $XX $XX $XX $XX

5/31/2019 $XX $XX $XX $XX $XX

6/29/2019 $XX $XX $XX $XX $XX

7/31/2019 $XX $XX $XX $XX $XX

8/30/2019 $XX $XX $XX $XX $XX

9/26/2019 $XX $XX $XX $XX $XX

Attachment 11

$XX

$XX

Interest Rate Shock

Scenarios

Total % Change in

Market Value

Total $ Change in Market Value

(millions) $XX -100 bps 1.00% $XX

$XX -50 bps 0.49% $XX -25 bps 0.25% $XX +25 bps -0.24% -$XX +50 bps -0.49% -$XX +100 bps -0.97% -$XXEffective Maturity X.XX

The Insurance Fund as of September 26, 2019

Market Value of Fund* (millions) Book Value of Fund* (millions)

Difference

Modified Duration X.XX

Attachment 12

$X.XX

$X.XX

$X.XX

$X.XX

$X.XX

$X.XX

$X.X

$X.X

$X.X

$X.X

$X.X

$X.X

2019 2020 2021 2022 2023 2024

Bi lli on s

Portfolio Distribution By Year (Principal)

Attachment 13

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$X

$XX

$X $X $X

$XX

$X $X

$XX

$X $X

$X

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$XX

M ill io ns

Portfolio Distribution By Quarter (Principle)

Attachment 14

$XX

$XX

$XX

$XX

$XX

$XX$XX

$XX

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$XX

$XX

$XX

$XX $XX $X $XX

$XX

$XX

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$XX

$Xx

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$XX

$XX

M ill io ns

Maturity Schedule (Principal)

Attachment 15