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Financial Derivatives - Financial Derivatives (Tables)
 9 Months Ended
Sep. 30, 2017
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, 2017 and December 31, 2016 and the effects of financial derivatives on the consolidated statements of operations for the three and nine months ended September 30, 2017 and 2016:

Table 4.1
  
As of September 30, 2017
  
 
 
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
$
2,040,854

 
$
744

 
$
(8,768
)
 
1.83%
 
1.31%
 
 
 
5.42
Receive fixed non-callable
1,431,700

 
64

 
(1,985
)
 
1.23%
 
1.42%
 
 
 
1.74
Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
349,000

 
960

 
(555
)
 
2.19%
 
1.55%
 
 
 
6.32
No hedge designation:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
348,040

 
166

 
(19,318
)
 
3.80%
 
1.31%
 
 
 
6.88
Receive fixed non-callable
3,389,116

 
—

 
—

 
1.12%
 
1.10%
 
 
 
0.85
Basis swaps
1,225,000

 
42

 
(63
)
 
1.20%
 
1.22%
 
 
 
0.95
Treasury futures
7,400

 
50

 
—

 
 
 
 
 
125.99

 
 
Credit valuation adjustment
 
 
(6
)
 
94

 
 
 
 
 
 
 
 
Total financial derivatives
$
8,791,110

 
$
2,020

 
$
(30,595
)
 
  
 
  
 
 
 
  
Collateral pledged
 
 
—

 
25,079

 
 
 
 
 
 
 
 
Net amount
 
 
$
2,020

 
$
(5,516
)
 
 
 
 
 
 
 
 
  
As of December 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
$
1,642,609

 
$
18,508

 
$
(18,909
)
 
1.73%
 
0.90%
 
 
 
4.70
Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
207,000

 
3,706

 
(955
)
 
2.18%
 
1.11%
 
 
 
7.28
No hedge designation:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay fixed non-callable
435,827

 
339

 
(32,951
)
 
4.06%
 
0.89%
 
 
 
5.90
Receive fixed non-callable
4,991,821

 
607

 
(5,064
)
 
0.74%
 
0.75%
 
 
 
0.60
Receive fixed callable
30,000

 
—

 
(33
)
 
0.82%
 
0.58%
 
 
 
0.33
Basis swaps
765,000

 
36

 
(243
)
 
0.78%
 
0.78%
 
 
 
0.87
Treasury futures
28,000

 
—

 
(155
)
 
 
 
 
 
123.73

 
 
Credit valuation adjustment
 
 
(14
)
 
158

 
 
 
 
 
 
 
 
Total financial derivatives
$
8,100,257

 
$
23,182

 
$
(58,152
)
 
  
 
  
 
 
 
  
Collateral pledged
 
 
—

 
25,643

 
 
 
 
 
 
 
 
Net amount
 
 
$
23,182

 
$
(32,509
)
 
 
 
 
 
 
 
 
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, 2017
 
September 30, 2016
 
September 30, 2017
 
September 30, 2016
 
(in thousands)
Fair value hedges:
 
 
 
 
 
 
 
Interest rate swaps(1)
$
1,576

 
$
11,276

 
$
(5,466
)
 
$
(30,062
)
Hedged items
166

 
(10,550
)
 
4,750

 
35,778

Gains/(losses) on fair value hedges
1,742

 
726

 
(716
)
 
5,716

Cash flow hedges:
 
 
 
 
 
 
 
Loss recognized (ineffective portion)
(191
)
 
(68
)
 
(365
)
 
(322
)
Losses on cash flow hedges
(191
)
 
(68
)
 
(365
)
 
(322
)
No hedge designation:
 
 
 
 
 
 
 
Interest rate swaps
(1,031
)
 
(2,333
)
 
4,006

 
(16,820
)
Agency forwards
—

 
79

 
(588
)
 
(789
)
Treasury futures
141

 
(5
)
 
193

 
(864
)
(Losses)/gains on financial derivatives not designated in hedging relationships
(890
)
 
(2,259
)
 
3,611

 
(18,473
)
Gains/(losses) on financial derivatives and hedging activities
$
661

 
$
(1,601
)
 
$
2,530

 
$
(13,079
)
(1) 
Included in the assessment of hedge effectiveness as of September 30, 2017, but excluded from the amounts in the table, were losses of $1.6 million and gains of $0.7 million, respectively, for the three and nine months ended September 30, 2017, attributable to the fair value of the swaps at the inception of the hedging relationship. Accordingly, the amounts recognized as hedge ineffectiveness for three and nine months ended September 30, 2017 were gains of $0.1 million and zero, respectively. The comparable amounts as of September 30, 2016 were losses of $1.0 million and $4.2 million for the three and nine months ended September 30, 2016, 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 $1.5 million for the three and nine months ended September 30, 2016, attributable to hedge ineffectiveness.