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Financial Derivatives - Financial Derivatives (Tables)
 6 Months Ended
Jun. 30, 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 June 30, 2016 and December 31, 2015 and the effects of financial derivatives on the consolidated statements of operations for the three and six months ended June 30, 2016 and 2015:

Table 4.1
  
As of June 30, 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

 
$
6

 
$
(67,960
)
 
1.83%
 
0.64%
 
 
 
5.24
Receive fixed non-callable
30,000

 
862

 
—

 
0.78%
 
1.75%
 
 
 
3.96
Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
157,000

 
—

 
(9,360
)
 
2.26%
 
0.86%
 
 
 
7.21
No hedge designation:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
442,611

 
—

 
(61,957
)
 
4.08%
 
0.64%
 
 
 
6.31
Receive fixed non-callable
6,035,677

 
7,367

 
(1,007
)
 
0.51%
 
0.60%
 
 
 
0.53
Receive fixed callable
30,000

 
—

 
(17
)
 
0.57%
 
0.58%
 
 
 
0.83
Basis swaps
400,000

 
7

 
(219
)
 
0.61%
 
0.58%
 
 
 
0.95
Agency forwards
17,586

 
—

 
(94
)
 
 
 
 
 
101.03

 
 
Treasury futures
28,100

 
—

 
(309
)
 
 
 
 
 
131.89

 
 
Credit valuation adjustment
 
 
—

 
165

 
 
 
 
 
 
 
 
Total financial derivatives
$
8,532,790

 
$
8,242

 
$
(140,758
)
 
  
 
  
 
 
 
  
Collateral pledged
 
 
—

 
95,144

 
 
 
 
 
 
 
 
Net amount
 
 
$
8,242

 
$
(45,614
)
 
 
 
 
 
 
 
 
  
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)/gains on financial derivatives and hedging activities
  
For the Three Months Ended
 
For the Six Months Ended
  
June 30, 2016
 
June 30, 2015
 
June 30, 2016
 
June 30, 2015
 
(in thousands)
Fair value hedges:
 
 
 
 
 
 
 
Interest rate swaps(1)
$
(14,440
)
 
$
14,075

 
$
(41,339
)
 
$
8,316

Hedged items
16,541

 
(11,354
)
 
46,329

 
(2,478
)
Gains on fair value hedges
2,101

 
2,721

 
4,990

 
5,838

Cash flow hedges:
 
 
 
 
 
 
 
Loss recognized (ineffective portion)
(105
)
 
(150
)
 
(254
)
 
(366
)
Losses on cash flow hedges
(105
)
 
(150
)
 
(254
)
 
(366
)
No hedge designation:
 
 
 
 
 
 
 
Interest rate swaps
(6,345
)
 
11,948

 
(14,487
)
 
6,207

Agency forwards
10

 
(356
)
 
(868
)
 
(1,142
)
Treasury futures
(357
)
 
226

 
(859
)
 
(30
)
(Losses)/gains on financial derivatives not designated in hedging relationships
(6,692
)
 
11,818

 
(16,214
)
 
5,035

(Losses)/gains on financial derivatives and hedging activities
$
(4,696
)
 
$
14,389

 
$
(11,478
)
 
$
10,507

(1) 
Included in the assessment of hedge effectiveness as of June 30, 2016, but excluded from the amounts in the table, were losses of $1.8 million and $3.3 million for the three and six months ended June 30, 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 three and six months ended June 30, 2016 were gains of $0.3 million and $1.7 million, respectively. The comparable amounts as of June 30, 2015 were losses of $2.9 million and $5.8 million for the three and six months ended June 30, 2015, attributable to the fair value of the swaps at the inception of the hedging relationship and, accordingly, losses of $0.2 million and gains of $0.1 million for the three and six months ended June 30, 2015, attributable to hedge ineffectiveness.