Financial Derivatives - Financial Derivatives (Tables)

3 Months Ended

Mar. 31, 2016

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, 2016 and December 31, 2015 and the effects of financial derivatives on the consolidated statements of operations for the three months ended March 31, 2016 and 2015:

Table 4.1

	As of March 31, 2016
			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	$	1,391,816	$	207	$	(52,859	)	1.83%	0.62%		5.49
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	144,000		—		(6,282		)	2.25%	0.81%		7.05
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	445,041		—		(57,430		)	4.10%	0.62%		6.53
Receive fixed non-callable	6,156,403		6,629		(1,332		)	0.50%	0.56%		0.61
Receive fixed callable	115,000		135		(47		)	0.56%	1.30%		3.00
Basis swaps	675,000		63		(130		)	0.48%	0.57%		1.93
Agency forwards	16,603		—		(134		)			102.22
Treasury futures	5,800		—		(45		)			129.62
Credit valuation adjustment			—		303
Total financial derivatives	$	8,949,663	$	7,034	$	(117,956	)
Collateral pledged			—		73,659
Net amount			$	7,034	$	(44,297	)

	As of December 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	$	1,276,285	$	949		$	(26,703	)	2.35%	0.37%		4.16
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	119,000		8			(1,381		)	2.25%	0.64%		7.03
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	454,041		229			(44,528		)	3.73%	0.33%		6.02
Receive fixed non-callable	5,590,638		2,384			(4,205		)	0.31%	0.47%		0.57
Receive fixed callable	230,000		—			(421		)	0.41%	0.91%		2.26
Basis swaps	725,000		232			(131		)	0.22%	0.38%		2.33
Treasury futures	35,000		19			—					125.96
Credit valuation adjustment			(5		)	170
Total financial derivatives	$	8,429,964	$	3,816		$	(77,199	)
Collateral pledged			—			37,986
Net amount			$	3,816		$	(39,213	)

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

Table 4.2

	Losses on financial derivatives and hedging activities
	For the Three Months Ended
	March 31, 2016			March 31, 2015
	(in thousands)
Fair value hedges:
Interest rate swaps(1)	$	(26,898	)	$	(5,760	)
Hedged items	29,787			8,876
Gains on fair value hedges	2,889			3,116
Cash flow hedges:
Loss recognized (ineffective portion)	(149		)	(216		)
Losses on cash flow hedges	(149		)	(216		)
No hedge designation:
Interest rate swaps	(8,142		)	(5,740		)
Agency forwards	(877		)	(786		)
Treasury futures	(503		)	(256		)
(Losses)/gains on financial derivatives not designated in hedging relationships	(9,522		)	(6,782		)
Losses on financial derivatives and hedging activities	$	(6,782	)	$	(3,882	)

⁽¹⁾  Included in the assessment of hedge effectiveness as of March 31, 2016, but excluded from the amounts in the table, were losses of $1.5 million, for the year ended March 31, 2016, attributable to the fair value of the swaps at the inception of the hedging relationship. Accordingly, the amounts recognized as hedge ineffectiveness for the year ended March 31, 2016 were gains of $1.4 million. The comparable amounts as of March 31, 2015 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 and, accordingly, gains of $0.2 million for the three months ended March 31, 2015, attributable to hedge ineffectiveness.