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Financial Derivatives (Tables)
 9 Months Ended
Sep. 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 September 30, 2012 and December 31, 2011 and the effects of financial derivatives on the consolidated statements of operations for the three and nine months ended September 30, 2012 and 2011:

  
September 30, 2012
  

 
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
$
950,000

 
$
—

 
$
(63,496
)
 
2.20%
 
0.44%
 
 
 
4.33

No hedge designation:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
807,606

 
47

 
(100,814
)
 
4.85%
 
0.41%
 
 
 
4.31

Receive fixed non-callable
3,668,717

 
35,632

 
—

 
0.36%
 
0.95%
 
 
 
0.77

Receive fixed callable
90,000

 
7

 
(21
)
 
0.17%
 
0.60%
 
 
 
3.99

Basis swaps
564,262

 
508

 
(945
)
 
0.53%
 
0.38%
 
 
 
1.19

Agency forwards
20,048

 
—

 
(58
)
 
 
 
 
 
101.17

 
 
Treasury futures
6,400

 
—

 
(3
)
 
 
 
 
 
133.44

 
 
Credit valuation adjustment
 
 
(4
)
 
388

 
 
 
 
 
 
 
 

Total financial derivatives
$
6,107,033

 
$
36,190

 
$
(164,949
)
 
  
 
  
 
 
 
  


  
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)
No hedge designation:
 
 
 
 
 
 
 
 
 
 
 
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
 
Gains/(Losses) on Financial Derivatives and Hedging Activities
  
For the Three Months Ended
 
For the Nine Months Ended
  
September 30, 2012
 
September 30, 2011
 
September 30, 2012
 
September 30, 2011
  
(in thousands)
Fair value hedges:
 
 
 
 
 
 
 
Interest rate swaps
$
(5,142
)
 
$
—

 
$
(5,142
)
 
$
—

Hedged items
8,378

 
—

 
8,378

 
—

Gains on hedging activities (1)
3,236

 
—

 
3,236

 
—

No hedge designation:
 
 
 
 
 
 
 
Interest rate swaps
(1,970
)
 
(65,136
)
 
(25,853
)
 
(76,857
)
Agency forwards
452

 
(3,052
)
 
(153
)
 
(5,053
)
Treasury futures
(142
)
 
(512
)
 
(471
)
 
(538
)
Credit default swaps
(18
)
 
133

 
(93
)
 
80

Losses on financial derivatives not designated in hedging relationships
(1,678
)
 
(68,567
)
 
(26,570
)
 
(82,368
)
Gains/(losses) on financial derivatives and hedging activities
$
1,558

 
$
(68,567
)
 
$
(23,334
)
 
$
(82,368
)
 
(1) Includes gains of $3.0 million that are excluded from the assessment of hedge effectiveness and gains of $0.2 million due to hedge ineffectiveness for the three and nine months ended September 30, 2012.