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Financial Derivatives - Financial Derivatives (Tables)
 6 Months Ended
Jun. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Hedged Items in Fair Value Hedging Relationships [Table Text Block]
The following table shows the carrying amount and associated cumulative basis adjustment related to the application of hedge accounting that is included in the carrying amount of hedged assets and liabilities in fair value hedging relationships as of June 30, 2018 and December 31, 2017:

Table 4.3

 
Hedged Items in Fair Value Relationship
 
Carrying Amount of Hedged Assets/(Liabilities)
 
Cumulative Amount of Fair Value Hedging Adjustments included in the Carrying Amount of the Hedged Assets/(Liabilities)
 
June 30, 2018
 
December 31, 2017
 
June 30, 2018
 
December 31, 2017
 
(in thousands)
Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value
$
2,223,750

 
$
1,928,220

 
$
(52,164
)
 
$
(22,853
)
Loans held for investment, at amortized cost
162,884

 
149,304

 
(9,088
)
 
(189
)
Notes Payable, due after one year(1)(2)
(2,345,273
)
 
(1,552,935
)
 
20,072

 
5,836

(1) 
Carrying amount represents amortized cost.
(2) 
Includes $0.4 million of hedging adjustments on a discontinued hedging relationship.
Schedule of Derivative Instruments [Table Text Block]
he following tables summarize information related to Farmer Mac's financial derivatives on a gross basis without giving consideration to master netting arrangements as of June 30, 2018 and December 31, 2017:

Table 4.1
  
As of June 30, 2018
  
 
 
Fair Value
 
Weighted-
Average
Pay Rate
 
Weighted-
Average Receive Rate
 
Weighted-
Average
Forward
Price
 
Weighted-
Average
Remaining
Term (in years)
  
Notional Amount
 
Asset
 
(Liability)
 
 
 
 
  
(dollars in thousands)
Fair value hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
$
2,432,032

 
$
2,744

 
$
(4,416
)
 
2.13%
 
2.34%
 
 
 
8.58
Receive fixed non-callable
2,151,700

 
652

 
(4,042
)
 
2.20%
 
1.69%
 
 
 
1.73
Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
409,500

 
3,265

 
(231
)
 
2.28%
 
2.42%
 
 
 
5.93
No hedge designation:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
323,292

 
1,407

 
(9,762
)
 
3.71%
 
2.33%
 
 
 
6.62
Receive fixed non-callable
3,401,094

 
17

 
(1,020
)
 
2.09%
 
1.81%
 
 
 
0.84
Basis swaps
1,419,000

 
—

 
(574
)
 
2.01%
 
1.88%
 
 
 
1.13
Treasury futures
39,500

 
—

 
(123
)
 
 
 
 
 
119.88

 
 
Credit valuation adjustment
 
 
(74
)
 
4

 
 
 
 
 
 
 
 
Total financial derivatives
$
10,176,118

 
$
8,011

 
$
(20,164
)
 
  
 
  
 
 
 
  
Collateral pledged
 
 
—

 
24,940

 
 
 
 
 
 
 
 
Net amount
 
 
$
8,011

 
$
4,776

 
 
 
 
 
 
 
 
  
As of December 31, 2017
  
 
 
Fair Value
 
Weighted-
Average
Pay Rate
 
Weighted-
Average Receive Rate
 
Weighted-
Average
Forward
Price
 
Weighted-
Average
Remaining
Term (in years)
  
Notional Amount
 
Asset
 
(Liability)
 
 
 
 
  
(dollars in thousands)
Fair value hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
$
2,086,347

 
$
5,240

 
$
(5,990
)
 
1.88%
 
1.40%
 
 
 
5.46
Receive fixed non-callable
1,559,700

 
110

 
(4,033
)
 
1.38%
 
1.45%
 
 
 
1.68
Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
365,500

 
1,402

 
(138
)
 
2.16%
 
1.74%
 
 
 
5.84
No hedge designation:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
345,333

 
339

 
(16,352
)
 
3.79%
 
1.40%
 
 
 
6.68
Receive fixed non-callable
3,409,916

 
—

 
—

 
1.25%
 
1.24%
 
 
 
0.92
Basis swaps
1,053,500

 
18

 
(106
)
 
1.33%
 
1.42%
 
 
 
0.91
Treasury futures
40,000

 
—

 
(36
)
 
 
 
 
 
123.96

 
 
Credit valuation adjustment
 
 
(16
)
 
56

 
 
 
 
 
 
 
 
Total financial derivatives
$
8,860,296

 
$
7,093

 
$
(26,599
)
 
  
 
  
 
 
 
  
Collateral pledged
 
 
—

 
24,926

 
 
 
 
 
 
 
 
Net amount
 
 
$
7,093

 
$
(1,673
)
 
 
 
 
 
 
 
 
Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location [Table Text Block]
The following table summarizes the net income/(expense) recognized in the consolidated statements of operations related to derivatives for the three and six months ended June 30, 2018 and 2017:

Table 4.2

 
For the Three Months Ended June 30, 2018
 
Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives
 
Net Interest Income
 
Non-Interest Income
 
Total
 
Interest Income
Farmer Mac Guaranteed Securities and USDA Securities
 
Interest Income Loans
 
Total Interest Expense
 
Gains/(losses) on financial derivatives and hedging activities
 
 
(in thousands)
Total amounts presented in the consolidated statement of operations:
$
74,179

 
$
49,396

 
$
(91,737
)
 
$
2,534

 
$
34,372

Income/(expense) related to interest settlements on fair value hedging relationships:
 
 
 
 
 
 
 
 
 
Recognized on derivatives
681

 
(165
)
 
(2,320
)
 
—

 
(1,804
)
Recognized on hedged items
15,923

 
1,545

 
(10,074
)
 
—

 
7,394

Discount amortization recognized on hedged items
—

 
—

 
(188
)
 
—

 
(188
)
Income/(expense) related to interest settlements on fair value hedging relationships
$
16,604

 
$
1,380

 
$
(12,582
)
 
$
—

 
$
5,402

 
 
 
 
 
 
 
 
 
 
Gains/(losses) on fair value hedging relationships:
 
 
 
 
 
 
 
 
 
Recognized on derivatives
12,485

 
2,235

 
(2,731
)
 
—

 
11,989

Recognized on hedged items
(10,849
)
 
(2,472
)
 
3,194

 
—

 
(10,127
)
Gains/(losses) on fair value hedging relationships
$
1,636

 
$
(237
)
 
$
463

 
$
—

 
$
1,862

 
 
 
 
 
 
 
 
 
 
Expense related to interest settlements on cash flow hedging relationships:
 
 
 
 
 
 
 
 
 
Interest settlements reclassified from AOCI into net income on derivatives
—

 
—

 
57

 
—

 
57

Recognized on hedged items
—

 
—

 
(2,330
)
 
—

 
(2,330
)
Discount amortization recognized on hedged items
—

 
—

 
(2
)
 
—

 
(2
)
Expense recognized on cash flow hedges
$
—

 
$
—

 
$
(2,275
)
 
$
—

 
$
(2,275
)
 
 
 
 
 
 
 
 
 
 
Gains/(losses) on financial derivatives not designated in hedge relationships:
 
 
 
 
 
 
 
 
 
Interest rate swaps
—

 
—

 
—

 
2,396

 
2,396

Treasury futures
—

 
—

 
—

 
138

 
138

Gains/(losses) on financial derivatives not designated in hedge relationships
$
—

 
$
—

 
$
—

 
$
2,534

 
$
2,534

 
For the Three Months Ended June 30, 2017
 
Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives
 
Net Interest Income
 
Non-Interest Income
 
Total
 
 Interest Income Farmer Mac Guaranteed Securities and USDA Securities
 
Interest Income Loans
 
Total Interest Expense
 
Gains/(losses) on financial derivatives and hedging activities
 
 
(in thousands)
Total amounts presented in the consolidated statement of operations
$
50,106

 
$
39,573

 
$
(58,316
)
 
$
(617
)
 
$
30,746

Income/(expense) related to interest settlements on fair value hedging relationships:
 
 
 
 
 
 
 
 
 
Recognized on derivatives
(2,826
)
 
(208
)
 
1,257

 
—

 
(1,777
)
Recognized on hedged items
11,633

 
583

 
(5,056
)
 
—

 
7,160

Discount amortization recognized on hedged items
—

 
—

 
(120
)
 
—

 
(120
)
Income/(expense) related to interest settlements on fair value hedging relationships
$
8,807

 
$
375

 
$
(3,919
)
 
$
—

 
$
5,263

 
 
 
 
 
 
 
 
 
 
Gains/(losses) on fair value hedging relationships:
 
 
 
 
 
 
 
 
 
Recognized on derivatives(1)
—

 
—

 
—

 
(8,568
)
 
(8,568
)
Recognized on hedged items
—

 
—

 
—

 
9,988

 
9,988

Gains/(losses) on fair value hedging relationships
$
—

 
$
—

 
$
—

 
$
1,420

 
$
1,420

 
 
 
 
 
 
 
 
 
 
Expense related to interest settlements on cash flow hedging relationships:
 
 
 
 
 
 
 
 
 
Interest settlements reclassified from AOCI into net income on derivatives
$
—

 
$
—

 
$
(497
)
 
$
—

 
$
(497
)
Recognized on hedged items
—

 
—

 
(845
)
 
—

 
(845
)
Discount amortization recognized on hedged items
—

 
—

 
(1
)
 
—

 
(1
)
Losses recognized in income for hedge ineffectiveness
—

 
—

 
—

 
(146
)
 
(146
)
Expense recognized on cash flow hedges
$
—

 
$
—

 
$
(1,343
)
 
$
(146
)
 
$
(1,489
)
 
 
 
 
 
 
 
 
 
 
Gains/(losses) on financial derivatives not designated in hedging relationships:
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
—

 
$
—

 
$
—

 
$
(1,648
)
 
$
(1,648
)
Agency forwards
—

 
—

 
—

 
(189
)
 
(189
)
Treasury futures
—

 
—

 
—

 
(54
)
 
(54
)
Gains/(losses) on financial derivatives not designated in hedge relationships
$
—

 
$
—

 
$
—

 
$
(1,891
)
 
$
(1,891
)
(1) 
Included in the assessment of hedge effectiveness as of June 30, 2017, but excluded from the amounts in the table, were losses of $1.3 million for the three months ended June 30, 2017, attributable to the fair value of the swaps at the inception of the hedging relationship. Accordingly, the amount recognized as hedge ineffectiveness for the three months ended June 30, 2017 were gains of $0.1 million.
 
For the Six Months Ended June 30, 2018
 
Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives
 
Net Interest Income
 
Non-Interest Income
 
Total
 
Interest Income
Farmer Mac Guaranteed Securities and USDA Securities
 
Interest Income Loans
 
Total Interest Expense
 
Gains/(losses) on financial derivatives and hedging activities
 
 
(in thousands)
Total amounts presented in the consolidated statement of operations:
$
136,609

 
$
95,049

 
$
(168,054
)
 
$
(1,316
)
 
$
62,288

Income/(expense) related to interest settlements on fair value hedging relationships:
 
 
 
 
 
 
 
 
 
Recognized on derivatives
(807
)
 
(463
)
 
(2,614
)
 
—

 
(3,884
)
Recognized on hedged items
29,409

 
2,959

 
(18,628
)
 
—

 
13,740

Discount amortization recognized on hedged items
—

 
—

 
(353
)
 
—

 
(353
)
Income/(expense) related to interest settlements on fair value hedging relationships
$
28,602

 
$
2,496

 
$
(21,595
)
 
$
—

 
$
9,503

 
 
 
 
 
 
 
 
 
 
Gains/(losses) on fair value hedging relationships:
 
 
 
 
 
 
 
 
 
Recognized on derivatives
32,934

 
8,655

 
(12,377
)
 
—

 
29,212

Recognized on hedged items
(29,797
)
 
(9,045
)
 
14,331

 
—

 
(24,511
)
Gains/(losses) on fair value hedging relationships
$
3,137

 
$
(390
)
 
$
1,954

 
$
—

 
$
4,701

 
 
 
 
 
 
 
 
 
 
Expense related to interest settlements on cash flow hedging relationships:
 
 
 
 
 
 
 
 
 
Interest settlements reclassified from AOCI into net income on derivatives
—

 
—

 
(210
)
 
—

 
(210
)
Recognized on hedged items
—

 
—

 
(4,110
)
 
—

 
(4,110
)
Discount amortization recognized on hedged items
—

 
—

 
(4
)
 
—

 
(4
)
Expense recognized on cash flow hedges
$
—

 
$
—

 
$
(4,324
)
 
$
—

 
$
(4,324
)
 
 
 
 
 
 
 
 
 
 
(Losses)/gains on financial derivatives not designated in hedge relationships:
 
 
 
 
 
 
 
 
 
Interest rate swaps
—

 
—

 
—

 
(1,679
)
 
(1,679
)
Treasury futures
—

 
—

 
—

 
363

 
363

(Losses)/gains on financial derivatives not designated in hedge relationships
$
—

 
$
—

 
$
—

 
$
(1,316
)
 
$
(1,316
)


 
For the Six Months Ended June 30, 2017
 
Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives
 
Net Interest Income
 
Non-Interest Income
 
Total
 
 Interest Income Farmer Mac Guaranteed Securities and USDA Securities
 
Interest Income Loans
 
Total Interest Expense
 
Gains/(losses) on financial derivatives and hedging activities
 
 
(in thousands)
Total amounts presented in the consolidated statement of operations
$
92,628

 
$
76,425

 
$
(107,862
)
 
$
1,869

 
$
63,060

Income/(expense) related to interest settlements on fair value hedging relationships:
 
 
 
 
 
 
 
 
 
Recognized on derivatives
(5,984
)
 
(425
)
 
1,440

 
—

 
(4,969
)
Recognized on hedged items
22,226

 
1,099

 
(7,764
)
 
—

 
15,561

Discount amortization recognized on hedged items
—

 
—

 
(190
)
 
—

 
(190
)
Income/(expense) related to interest settlements on fair value hedging relationships
$
16,242

 
$
674

 
$
(6,514
)
 
$
—

 
$
10,402

 
 
 
 
 
 
 
 
 
 
Gains/(losses) on fair value hedging relationships:
 
 
 
 
 
 
 
 
 
Recognized on derivatives(1)
—

 
—

 
—

 
(7,041
)
 
(7,041
)
Recognized on hedged items
—

 
—

 
—

 
4,584

 
4,584

Gains/(losses) on fair value hedging relationships
$
—

 
$
—

 
$
—

 
$
(2,457
)
 
$
(2,457
)
 
 
 
 
 
 
 
 
 
 
Expense related to interest settlements on cash flow hedging relationships:
 
 
 
 
 
 
 
 
 
Interest settlements reclassified from AOCI into net income on derivatives
$
—

 
$
—

 
$
(1,040
)
 
$
—

 
$
(1,040
)
Recognized on hedged items
—

 
—

 
(1,496
)
 
—

 
(1,496
)
Discount amortization recognized on hedged items
—

 
—

 
(2
)
 
—

 
(2
)
Losses recognized in income for hedge ineffectiveness
—

 
—

 
—

 
(175
)
 
(175
)
Expense recognized on cash flow hedges
$
—

 
$
—

 
$
(2,538
)
 
$
(175
)
 
$
(2,713
)
 
 
 
 
 
 
 
 
 
 
Gains/(losses) on financial derivatives not designated in hedging relationships:
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
—

 
$
—

 
$
—

 
$
5,036

 
$
5,036

Agency forwards
—

 
—

 
—

 
(588
)
 
(588
)
Treasury futures
—

 
—

 
—

 
53

 
53

Gains/(losses) on financial derivatives not designated in hedge relationships
$
—

 
$
—

 
$
—

 
$
4,501

 
$
4,501