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Financial Derivatives (Tables)
 6 Months Ended
Jun. 30, 2012
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments
The following tables summarize information related to Farmer Mac's financial derivatives as of June 30, 2012 and December 31, 2011:

  
June 30, 2012
  

 
Fair Value
 
Weighted-
Average
Pay Rate
 
Weighted-
Average Receive Rate
 
Weighted-
Average
Remaining
Life (in years)
  
Notional Amount
 
Asset
 
(Liability)
 
 
 
  
(dollars in thousands)
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
$
1,789,433

 
$
4

 
$
(162,126
)
 
3.47
%
 
0.47
%
 
4.40

Receive fixed non-callable
3,915,717

 
36,732

 
(57
)
 
0.36
%
 
0.90
%
 
0.84

Basis swaps
595,119

 
158

 
(1,073
)
 
0.60
%
 
0.38
%
 
1.29

Credit default swaps
10,000

 
—

 
(8
)
 
1.00
%
 
—

 
0.22

Credit valuation adjustment
 
 
—

 
673

 
 

 
 

 
 

Total financial derivatives
$
6,310,269

 
$
36,894

 
$
(162,591
)
 
  

 
  

 
  


  
December 31, 2011
  
 
 
Fair Value
 
Weighted-
Average
Pay Rate
 
Weighted-
Average Receive Rate
 
Weighted-
Average
Remaining
Life (in years)
  
Notional Amount
 
Asset
 
(Liability)
 
 
 
  
(dollars in thousands)
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
$
1,906,123

 
$
—

 
$
(157,520
)
 
3.65
%
 
0.46
%
 
4.48
Receive fixed non-callable
4,212,713

 
41,006

 
(1,302
)
 
0.41
%
 
0.96
%
 
0.97
Basis swaps
457,694

 
—

 
(2,137
)
 
0.80
%
 
0.38
%
 
1.30
Credit default swaps
10,000

 
17

 
—

 
1.00
%
 
—

 
0.72
Credit valuation adjustment
 
 
(773
)
 
935

 
 

 
 

 
 
Total financial derivatives
$
6,586,530

 
$
40,250

 
$
(160,024
)
 
  

 
  

 
  
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance
The following tables summarize the effects of Farmer Mac's financial derivatives on the consolidated statements of operations for the three and six months ended June 30, 2012 and 2011:

 
Losses on Financial Derivatives
  
For the Three Months Ended
 
For the Six Months Ended
  
June 30, 2012
 
June 30, 2011
 
June 30, 2012
 
June 30, 2011
  
(in thousands)
Interest rate swaps
$
(30,187
)
 
$
(16,451
)
 
$
(23,882
)
 
$
(11,721
)
Agency forwards
(809
)
 
(1,153
)
 
(605
)
 
(2,001
)
Treasury futures
(295
)
 
(211
)
 
(329
)
 
(26
)
Credit default swaps
(1
)
 
9

 
(76
)
 
(53
)
Total
$
(31,292
)
 
$
(17,806
)
 
$
(24,892
)
 
$
(13,801
)