Financial Derivatives - Financial Derivatives (Tables)

3 Months Ended

Mar. 31, 2015

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, 2015 and December 31, 2014 and the effects of financial derivatives on the consolidated statements of operations for three months ended March 31, 2015 and 2014:

Table 4.1

	As of March 31, 2015
			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	$	1,014,915	$	—		$	(37,478	)	2.46%	0.26%		3.83
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	37,000		—			(751		)	2.43%	0.57%		8.30
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	476,113		19			(56,602		)	4.19%	0.26%		6.99
Receive fixed non-callable	4,042,209		4,305			(230		)	0.15%	0.30%		0.57
Receive fixed callable	632,565		238			(277		)	0.13%	1.02%		2.80
Basis swaps	1,130,000		247			(262		)	0.12%	0.31%		2.61
Agency forwards	34,827		—			(132		)			101.41
Treasury futures	2,900		—			(5		)			128.73
Credit valuation adjustment			(1		)	244
Total financial derivatives	$	7,370,529	$	4,808		$	(95,493	)
Collateral pledged			—			48,870
Net amount			$	4,808		$	(46,623	)

	As of December 31, 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	$	—		$	(31,718	)	2.47%	0.23%		3.98
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	15,000		—			(289		)	2.43%	0.51%		6.23
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	490,183		537			(51,224		)	4.23%	0.23%		7.05
Receive fixed non-callable	3,829,355		3,414			(461		)	0.14%	0.27%		0.55
Receive fixed callable	383,565		1			(877		)	0.12%	1.34%		3.47
Basis swaps	1,105,000		247			(406		)	0.11%	0.31%		2.42
Agency forwards	12,768		—			(53		)			101.00
Treasury futures	1,700		—			(3		)			126.60
Credit valuation adjustment			(22		)	187
Total financial derivatives	$	6,837,571	$	4,177		$	(84,844	)
Collateral pledged			—			46,627
Net amount			$	4,177		$	(38,217	)

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

Table 4.2

	Losses on financial derivatives and hedging activities
	For the Three Months Ended
	March 31, 2015			March 31, 2014
	(in thousands)
Fair value hedges:
Interest rate swaps(1)	$	(5,760	)	$	200
Hedged items	8,876			2,750
Gains on hedging activities	3,116			2,950
No hedge designation:
Interest rate swaps	(5,956		)	(9,548		)
Agency forwards	(786		)	(852		)
Treasury futures	(256		)	(128		)
Losses on financial derivatives not designated in hedging relationships	(6,998		)	(10,528		)
Losses on financial derivatives and hedging activities	$	(3,882	)	$	(7,578	)

⁽¹⁾  Included in the assessment of hedge effectiveness as of March 31, 2015, but excluded from the amounts in the table, were losses of $2.9 million for the three months ended March 31, 2015, 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 months ended March 31, 2015 were gains of $0.2 million. The comparable amounts as of March 31, 2014 were losses of $2.9 million for the three months ended March 31, 2014, attributable to the fair value of the swaps at the inception of the hedging relationship and, accordingly, gains of $29,000 for the three months ended March 31, 2014, attributable to hedge ineffectiveness.