Financial Derivatives - Financial Derivatives (Tables)

3 Months Ended

Mar. 31, 2018

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Hedged Items in Fair Value Hedging Relationships [Table Text Block]

The following table shows the carrying amount and associated cumulative basis adjustment related to the application of hedge accounting that is included in the carrying amount of hedged assets and liabilities in fair value hedging relationships as of March 31, 2018 and December 31, 2017:

Table 4.3

	Hedged Items in Fair Value Relationship
	Carrying Amount of Hedged Assets/(Liabilities)						Cumulative Amount of Fair Value Hedging Adjustments included in the Carrying Amount of the Hedged Assets/(Liabilities)
	March 31, 2018			December 31, 2017			March 31, 2018			December 31, 2017
	(in thousands)
Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value	$	2,135,593		$	1,928,220		$	(22,367	)	$	(22,853	)
Loans held for investment, at amortized cost	161,656			149,304			(44		)	(189		)
Notes Payable, due after one year(1)(2)	(2,114,705		)	(1,552,935		)	5,805			5,836

⁽¹⁾  Carrying amount represents amortized cost.

⁽²⁾  Includes $0.4 million of hedging adjustments on a discontinued hedging relationship.

Schedule of Derivative Instruments [Table Text Block]

he 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, 2018 and December 31, 2017:

Table 4.1

	As of March 31, 2018
			Fair Value						Weighted- Average Pay Rate	Weighted- Average Receive Rate	Weighted- Average Forward Price	Weighted- Average Remaining Term (in years)
	Notional Amount		Asset			(Liability)
	(dollars in thousands)
Fair value hedges:
Interest rate swaps:
Pay fixed non-callable	$	2,323,209	$	804		$	(5,763	)	2.09%	1.82%		9.01
Receive fixed non-callable	2,121,700		444			(3,956		)	1.77%	1.58%		1.76
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	380,500		2,878			(261		)	2.20%	2.09%		5.82
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	330,709		1,062			(11,725		)	3.72%	1.81%		6.76
Receive fixed non-callable	3,256,427		—			—			1.73%	1.60%		0.86
Basis swaps	1,278,500		4			(517		)	1.75%	1.74%		1.21
Treasury futures	43,200		—			(366		)			120.29
Credit valuation adjustment			(50		)	18
Total financial derivatives	$	9,734,245	$	5,142		$	(22,570	)
Collateral pledged			—			25,253
Net amount			$	5,142		$	2,683

	As of December 31, 2017
			Fair Value						Weighted- Average Pay Rate	Weighted- Average Receive Rate	Weighted- Average Forward Price	Weighted- Average Remaining Term (in years)
	Notional Amount		Asset			(Liability)
	(dollars in thousands)
Fair value hedges:
Interest rate swaps:
Pay fixed non-callable	$	2,086,347	$	5,240		$	(5,990	)	1.88%	1.40%		5.46
Receive fixed non-callable	1,559,700		110			(4,033		)	1.38%	1.45%		1.68
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	365,500		1,402			(138		)	2.16%	1.74%		5.84
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	345,333		339			(16,352		)	3.79%	1.40%		6.68
Receive fixed non-callable	3,409,916		—			—			1.25%	1.24%		0.92
Basis swaps	1,053,500		18			(106		)	1.33%	1.42%		0.91
Treasury futures	40,000		—			(36		)			123.96
Credit valuation adjustment			(16		)	56
Total financial derivatives	$	8,860,296	$	7,093		$	(26,599	)
Collateral pledged			—			24,926
Net amount			$	7,093		$	(1,673	)

Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location [Table Text Block]

The following table summarizes the net income/(expense) recognized in the consolidated statements of operations related to derivatives for the three months ended March 31, 2018and2017:

Table 4.2

	March 31, 2018
	Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives
	Net Interest Income									Non-Interest Income			Total
	Interest Income Farmer Mac Guaranteed Securities and USDA Securities			Interest Income Loans			Total Interest Expense			(Losses)/gains on financial derivatives and hedging activities
	(in thousands)
For the Three Months Ended:
Total amounts presented in the consolidated statement of operations:	$	62,430		$	45,653		$	(76,317	)	$	(3,850	)	$	27,916
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	(1,488		)	(297		)	294			—			(1,491		)
Recognized on hedged items	13,597			1,414			(7,915		)	—			7,096
Discount amortization recognized on hedged items	—			—			(155		)	—			(155		)
Income/(expense) related to interest settlements on fair value hedging relationships	$	12,109		$	1,117		$	(7,776	)	$	—		$	5,450
Gains/(losses) on fair value hedging relationships:
Recognized on derivatives	20,449			6,419			(9,647		)	—			17,221
Recognized on hedged items	(18,948		)	(6,572		)	11,137			—			(14,383		)
Gains/(losses) on fair value hedging relationships	$	1,501		$	(153	)	$	1,490		$	—		$	2,838
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	—			—			(267		)	—			(267		)
Recognized on hedged items	—			—			(1,780		)	—			(1,780		)
Discount amortization recognized on hedged items	—			—			(2		)	—			(2		)
Expense recognized on cash flow hedges	$	—		$	—		$	(2,049	)	$	—		$	(2,049	)
(Losses)/gains on financial derivatives not designated in hedge relationships:
Interest rate swaps	—			—			—			(4,075		)	(4,075		)
Agency forwards	—			—			—			—			—
Treasury futures	—			—			—			225			225
(Losses)/gains on financial derivatives not designated in hedge relationships	$	—		$	—		$	—		$	(3,850	)	$	(3,850	)

	March 31, 2017
	Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives
	Net Interest Income									Non-Interest Income			Total
	Interest Income Farmer Mac Guaranteed Securities and USDA Securities			Interest Income Loans			Total Interest Expense			(Losses)/gains on financial derivatives and hedging activities
	(in thousands)
For the Three Months Ended:
Total amounts presented in the consolidated statement of operations	$	42,522		$	36,852		$	(49,546	)	$	2,486		$	32,314
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	(3,158		)	(217		)	183			—			(3,192		)
Recognized on hedged items	10,275			516			(2,277		)	—			8,514
Discount amortization recognized on hedged items	—			—			(58		)	—			(58		)
Income/(expense) related to interest settlements on fair value hedging relationships	$	7,117		$	299		$	(2,152	)	$	—		$	5,264
Gains/(losses) on fair value hedging relationships:
Recognized on derivatives(1)										1,526			1,526
Recognized on hedged items										(5,404		)	(5,404		)
Gains/(losses) on fair value hedging relationships	$	—		$	—		$	—		$	(3,878	)	$	(3,878	)
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—		$	—		$	(512	)	$	—		$	(512	)
Recognized on hedged items	—			—			(652		)	—			(652		)
Discount amortization recognized on hedged items	—			—			—			—			—
Losses recognized in income for hedge ineffectiveness	—			—			—			(29		)	(29		)
Expense recognized on cash flow hedges	$	—		$	—		$	(1,164	)	$	(29	)	$	(1,193	)
Gains/(losses) on financial derivatives not designated in hedging relationships:
Interest rate swaps	$	—		$	—		$	—		$	6,684		$	6,684
Agency forwards	—			—			—			(399		)	(399		)
Treasury futures	—			—			—			108			108
Gains/(losses) on financial derivatives not designated in hedge relationships	$	—		$	—		$	—		$	6,393		$	6,393

⁽¹⁾  Included in the assessment of hedge effectiveness as of March 31, 2017, but excluded from the amounts in the table, were gains of $3.6 million for the three months ended March 31, 2017, 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, 2017 were losses of $0.3 million.