Financial Derivatives - Financial Derivatives (Tables)

3 Months Ended

Mar. 31, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments [Table Text Block]

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, 2017 and and December 31, 2016 and the effects of financial derivatives on the consolidated statements of operations for the three months ended March 31, 2017 and 2016:

Table 4.1

	As of March 31, 2017
			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	$	1,808,581	$	1,292	$	(9,133	)	1.77%	1.04%		4.75
Receive fixed non-callable	860,200		11		(1,815		)	0.98%	1.39%		3.27
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	221,000		843		(290		)	2.28%	1.34%		7.13
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	433,406		400		(20,912		)	4.06%	1.04%		5.69
Receive fixed non-callable	4,262,401		69		—			0.82%	0.87%		0.79
Receive fixed callable	30,000		—		(10		)	0.97%	0.58%		0.08
Basis swaps	865,000		51		(15		)	0.93%	0.99%		0.93
Treasury futures	12,800		8		—					124.62
Credit valuation adjustment			—		121
Total financial derivatives	$	8,493,388	$	2,674	$	(32,054	)
Collateral pledged			—		25,075
Net amount			$	2,674	$	(6,979	)

	As of December 31, 2016
			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	$	1,642,609	$	18,508		$	(18,909	)	1.73%	0.90%		4.70
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	207,000		3,706			(955		)	2.18%	1.11%		7.28
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	435,827		339			(32,951		)	4.06%	0.89%		5.90
Receive fixed non-callable	4,991,821		607			(5,064		)	0.74%	0.75%		0.60
Receive fixed callable	30,000		—			(33		)	0.82%	0.58%		0.33
Basis swaps	765,000		36			(243		)	0.78%	0.78%		0.87
Treasury futures	28,000		—			(155		)			123.73
Credit valuation adjustment			(14		)	158
Total financial derivatives	$	8,100,257	$	23,182		$	(58,152	)
Collateral pledged			—			25,643
Net amount			$	23,182		$	(32,509	)

Derivative Instruments, Gain (Loss) [Table Text Block]

Table 4.2

	Gains/(losses) on financial derivatives and hedging activities
	For the Three Months Ended
	March 31, 2017			March 31, 2016
	(in thousands)
Fair value hedges:
Interest rate swaps(1)	$	1,526		$	(26,898	)
Hedged items	(5,404		)	29,787
Gains on fair value hedges	(3,878		)	2,889
Cash flow hedges:
Loss recognized (ineffective portion)	(29		)	(149		)
Losses on cash flow hedges	(29		)	(149		)
No hedge designation:
Interest rate swaps	6,684			(8,142		)
Agency forwards	(399		)	(877		)
Treasury futures	108			(503		)
Gains/(losses) on financial derivatives not designated in hedging relationships	6,393			(9,522		)
Gains/(losses) on financial derivatives and hedging activities	$	2,486		$	(6,782	)

⁽¹⁾  Included in the assessment of hedge effectiveness as of March 31, 2017, but excluded from the amounts in the table, were gains of $3.6 million for the three months ended March 31, 2017, attributable to the fair value of the swaps at the inception of the hedging relationship. Accordingly, the amounts recognized as hedge ineffectiveness for three months ended March 31, 2017 were losses of $0.3 million. The comparable amounts as of March 31, 2016 were losses of $1.5 million for the three months ended March 31, 2016, attributable to the fair value of the swaps at the inception of the hedging relationship and, accordingly, gains of $1.4 million for the three months ended March 31, 2016, attributable to hedge ineffectiveness.