Financial Derivatives - Financial Derivatives (Tables)

9 Months Ended

Sep. 30, 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 September 30, 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)
	September 30, 2018			December 31, 2017			September 30, 2018			December 31, 2017
	(in thousands)
Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value	$	2,514,978		$	1,928,220		$	(65,596	)	$	(22,853	)
Loans held for investment, at amortized cost	166,754			149,304			(13,150		)	(189		)
Notes Payable, due after one year(1)(2)	(2,057,594		)	(1,552,935		)	22,428			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 September 30, 2018 and December 31, 2017:

Table 4.1

	As of September 30, 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	$	2,801,164	$	860		$	(4,493	)	2.04%	2.13%		10.39
Receive fixed non-callable	2,131,200		682			(4,796		)	2.20%	1.78%		1.74
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	389,500		4,429			(276		)	2.36%	2.57%		6.10
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	317,586		1,966			(8,065		)	3.69%	2.33%		6.48
Receive fixed non-callable	2,521,965		—			—			2.16%	1.99%		0.84
Basis swaps	1,529,000		233			(206		)	2.01%	2.07%		1.41
Treasury futures	12,700		—			(11		)			118.70
Credit valuation adjustment			(163		)	6
Total financial derivatives	$	9,703,115	$	8,007		$	(17,841	)
Collateral pledged			—			46,841
Net amount			$	8,007		$	29,000

	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 and nine months ended September 30, 2018and2017:

Table 4.2

	For the Three Months Ended September 30, 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			Gains/(losses) on financial derivatives and hedging activities
	(in thousands)
Total amounts presented in the consolidated statement of operations:	$	76,870		$	50,622		$	(97,557	)	$	628		$	30,563
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	1,272			(98		)	(2,702		)	—			(1,528		)
Recognized on hedged items	16,769			1,660			(9,821		)	—			8,608
Discount amortization recognized on hedged items	—			—			(177		)	—			(177		)
Income/(expense) related to interest settlements on fair value hedging relationships	$	18,041		$	1,562		$	(12,700	)	$	—		$	6,903
(Losses)/gains on fair value hedging relationships:
Recognized on derivatives	13,420			3,909			(1,188		)	—			16,141
Recognized on hedged items	(13,432		)	(4,062		)	2,404			—			(15,090		)
(Losses)/gains on fair value hedging relationships	$	(12	)	$	(153	)	$	1,216		$	—		$	1,051
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	—			—			189			—			189
Recognized on hedged items	—			—			(2,501		)	—			(2,501		)
Discount amortization recognized on hedged items	—			—			(2		)	—			(2		)
Expense recognized on cash flow hedges	$	—		$	—		$	(2,314	)	$	—		$	(2,314	)
Gains on financial derivatives not designated in hedge relationships:
Gains on interest rate swaps	—			—			—			3,267			3,267
Interest expense on interest rate swaps	—			—			—			(3,048		)	(3,048		)
Treasury futures	—			—			—			409			409
Gains on financial derivatives not designated in hedge relationships	$	—		$	—		$	—		$	628		$	628

	For the Three Months Ended September 30, 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			Gains/(losses) on financial derivatives and hedging activities
	(in thousands)
Total amounts presented in the consolidated statement of operations	$	54,350		$	40,924		$	(64,935	)	$	661		$	31,000
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	(2,267		)	(342		)	717			—			(1,892		)
Recognized on hedged items	11,986			947			(5,069		)	—			7,864
Discount amortization recognized on hedged items	—			—			(121		)	—			(121		)
Income/(expense) related to interest settlements on fair value hedging relationships	$	9,719		$	605		$	(4,473	)	$	—		$	5,851
Gains on fair value hedging relationships:
Recognized on derivatives(1)	—			—			—			1,576			1,576
Recognized on hedged items	—			—			—			166			166
Gains on fair value hedging relationships	$	—		$	—		$	—		$	1,742		$	1,742
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—		$	—		$	(454	)	$	—		$	(454	)
Recognized on hedged items	—			—			(1,169		)	—			(1,169		)
Discount amortization recognized on hedged items	—			—			(1		)	—			(1		)
Losses recognized in income for hedge ineffectiveness	—			—			—			(191		)	(191		)
Expense recognized on cash flow hedges	$	—		$	—		$	(1,624	)	$	(191	)	$	(1,815	)
Losses on financial derivatives not designated in hedging relationships:
Gains on interest rate swaps	$	—		$	—		$	—		$	1,645		$	1,645
Interest expense on interest rate swaps	—			—			—			(2,676		)	(2,676		)
Agency forwards	—			—			—			—			—
Treasury futures	—			—			—			141			141
Losses on financial derivatives not designated in hedge relationships	$	—		$	—		$	—		$	(890	)	$	(890	)

⁽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 for the three months ended September 30, 2017, attributable to the fair value of the swaps at the inception of the hedging relationship. Accordingly, the amount recognized as hedge ineffectiveness for the three months ended September 30, 2017 were gains of $0.1 million.

	For the Nine Months Ended September 30, 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			Gains/(losses) on financial derivatives and hedging activities
	(in thousands)
Total amounts presented in the consolidated statement of operations:	$	213,479		$	145,671		$	(265,611	)	$	(688	)	$	92,851
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	465			(560		)	(5,315		)	—			(5,410		)
Recognized on hedged items	46,289			4,619			(28,633		)	—			22,275
Discount amortization recognized on hedged items	—			—			(534		)	—			(534		)
Income/(expense) related to interest settlements on fair value hedging relationships	$	46,754		$	4,059		$	(34,482	)	$	—		$	16,331
Gains/(losses) on fair value hedging relationships:
Recognized on derivatives	46,354			12,564			(13,565		)	—			45,353
Recognized on hedged items	(43,229		)	(13,106		)	16,733			—			(39,602		)
Gains/(losses) on fair value hedging relationships	$	3,125		$	(542	)	$	3,168		$	—		$	5,751
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	—			—			(21		)	—			(21		)
Recognized on hedged items	—			—			(6,611		)	—			(6,611		)
Discount amortization recognized on hedged items	—			—			(5		)	—			(5		)
Expense recognized on cash flow hedges	$	—		$	—		$	(6,637	)	$	—		$	(6,637	)
Losses on financial derivatives not designated in hedge relationships:
Gains on interest rate swaps	—			—			—			7,443			7,443
Interest expense on interest rate swaps	—			—			—			(8,903		)	(8,903		)
Treasury futures	—			—			—			772			772
Losses on financial derivatives not designated in hedge relationships	$	—		$	—		$	—		$	(688	)	$	(688	)

	For the Nine Months Ended September 30, 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			Gains/(losses) on financial derivatives and hedging activities
	(in thousands)
Total amounts presented in the consolidated statement of operations	$	146,978		$	117,349		$	(172,797	)	$	2,530		$	94,060
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	(8,251		)	(767		)	2,157			—			(6,861		)
Recognized on hedged items	34,212			2,045			(12,832		)	—			23,425
Discount amortization recognized on hedged items	—			—			(311		)	—			(311		)
Income/(expense) related to interest settlements on fair value hedging relationships	$	25,961		$	1,278		$	(10,986	)	$	—		$	16,253
Losses on fair value hedging relationships:
Recognized on derivatives(1)	—			—			—			(5,466		)	(5,466		)
Recognized on hedged items	—			—			—			4,750			4,750
Losses on fair value hedging relationships	$	—		$	—		$	—		$	(716	)	$	(716	)
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—		$	—		$	(1,494	)	$	—		$	(1,494	)
Recognized on hedged items	—			—			(2,665		)	—			(2,665		)
Discount amortization recognized on hedged items	—			—			(3		)	—			(3		)
Losses recognized in income for hedge ineffectiveness	—			—			—			(365		)	(365		)
Expense recognized on cash flow hedges	$	—		$	—		$	(4,162	)	$	(365	)	$	(4,527	)
Gains on financial derivatives not designated in hedging relationships:
Gains on interest rate swaps	$	—		$	—		$	—		$	12,324		$	12,324
Interest expense on interest rate swaps	—			—			—			(8,318		)	(8,318		)
Agency forwards	—			—			—			(588		)	(588		)
Treasury futures	—			—			—			193			193
Gains on financial derivatives not designated in hedge relationships	$	—		$	—		$	—		$	3,611		$	3,611