Financial Derivatives - (Tables)

9 Months Ended

Sep. 30, 2014

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 September 30, 2014 and December 31, 2013 and the effects of financial derivatives on the consolidated statements of operations for the three and nine months ended September 30, 2014 and 2013:

Table 4.1

	As of September 30, 2014
			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	$	1,000,000	$	—		$	(23,979	)	2.47%	0.24%		4.23
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	10,000		—			(81		)	2.50%	0.48%		6.20
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	492,496		1,775			(43,694		)	4.23%	0.23%		7.27
Receive fixed non-callable	3,818,832		3,806			(564		)	0.14%	0.24%		0.48
Receive fixed callable	296,000		—			(1,152		)	0.09%	0.86%		3.05
Basis swaps	1,030,000		238			(758		)	0.12%	0.29%		2.27
Agency forwards	17,352		—			(10		)			98.01
Treasury futures	6,700		—			(21		)			124.33
Credit valuation adjustment			(76		)	264
Total financial derivatives	$	6,671,380	$	5,743		$	(69,995	)
Collateral pledged			—			29,788
Net amount			$	5,743		$	(40,207	)

	As of December 31, 2013
			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	$	900,000	$	—		$	(28,989	)	2.25%	0.24%		3.25
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	10,000		68			—			2.50%	0.48%		6.95
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	806,596		7,570			(45,360		)	4.63%	0.24%		4.86
Receive fixed non-callable	4,324,663		11,836			(262		)	0.27%	0.70%		0.53
Receive fixed callable	175,000		83			(934		)	0.10%	0.65%		3.30
Basis swaps	404,288		276			(318		)	0.32%	0.29%		1.52
Agency forwards	65,704		86			—					98.91
Treasury futures	5,600		—			(1		)			123.02
Credit valuation adjustment			(201		)	156
Total financial derivatives	$	6,691,851	$	19,718		$	(75,708	)
Collateral pledged			—			11,320
Net amount			$	19,718		$	(64,388	)

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

Table 4.2

	Gains/(losses) on financial derivatives and hedging activities
	For the Three Months Ended						For the Nine Months Ended
	September 30, 2014			September 30, 2013			September 30, 2014			September 30, 2013
	(in thousands)
Fair value hedges:
Interest rate swaps (1)	$	5,610		$	4		$	5,010		$	23,329
Hedged items	(2,549		)	2,996			4,019			(14,871		)
Gains on hedging activities	3,061			3,000			9,029			8,458
No hedge designation:
Interest rate swaps	(2,074		)	1,192			(19,748		)	14,950
Agency forwards	(210		)	(861		)	(1,297		)	(768		)
Treasury futures	31			(307		)	(452		)	(139		)
(Losses)/gains on financial derivatives not designated in hedging relationships	(2,253		)	24			(21,497		)	14,043
Gains/(losses) on financial derivatives and hedging activities	$	808		$	3,024		$	(12,468	)	$	22,501

(1) Included in the assessment of hedge effectiveness at September 30, 2014, but excluded from the amounts in the table, were losses of $2.9 million and $8.7 million for the three and nine months ended September 30, 2014, respectively, attributable to the fair value of the swaps at the inception of the hedging relationship. Accordingly, the amounts recognized as hedge ineffectiveness for the three and nine months ended September 30, 2014 were gains of $0.2 million and $0.3 million, respectively. The comparable amounts at September 30, 2013 were losses of $3.1 million and $8.0 million for the three and nine months ended September 30, 2013, respectively, attributable to the fair value of the swaps at the inception of the hedging relationship and, accordingly, losses of $0.1 million and gains of $0.5 million for the three and nine months ended September 30, 2013, respectively, attributable to hedge ineffectiveness.