Financial Derivatives - Financial Derivatives (Tables)

12 Months Ended

Dec. 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 December 31, 2018 and 2017:

Table 6.3

	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)
	December 31, 2018			December 31, 2017			December 31, 2018			December 31, 2017
	(in thousands)
Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value	$	2,882,919		$	1,928,220		$	(906	)	$	(22,853	)
Loans held for investment, at amortized cost	194,617			149,304			(5,287		)	(189		)
Notes Payable, due after one year(1)(2)	(2,021,356		)	(1,552,935		)	8,785			5,836

⁽¹⁾  Carrying amount represents amortized cost.

⁽²⁾  Includes $0.3 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 December 31, 2018 and 2017:

Table 6.1

	As of December 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	$	3,097,084	$	3,004		$	(4,326	)	2.42%	2.58%		9.75
Receive fixed non-callable	2,031,200		885			(4,512		)	2.49%	1.94%		1.68
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	373,000		2,441			(99		)	2.40%	2.83%		6.12
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	316,664		796			(10,399		)	3.69%	2.52%		6.25
Receive fixed non-callable	2,347,371		—			—			2.37%	2.10%		0.86
Basis swaps	1,770,026		421			(130		)	2.45%	2.49%		1.27
Treasury futures	20,400		—			(188		)			121.09
Credit valuation adjustment			(60		)	21
Total financial derivatives	$	9,955,745	$	7,487		$	(19,633	)
Collateral pledged			(1,778		)	47,018
Net amount			$	5,709		$	27,385

	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 years ended December 31, 2018, 2017, and 2016:

Table 6.2

	For the Year Ended December 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
	(in thousands)
Total amounts presented in the consolidated statement of operations:	$	290,953		$	198,152		$	(369,848	)	$	(3,687	)	$	115,570
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	1,861			(630		)	(7,995		)	—			(6,764		)
Recognized on hedged items	65,238			6,284			(36,837		)	—			34,685
Discount amortization recognized on hedged items	—			—			(668		)	—			(668		)
Income/(expense) related to interest settlements on fair value hedging relationships	$	67,099		$	5,654		$	(45,500	)	$	—		$	27,253
Gains/(losses) on fair value hedging relationships:
Recognized on derivatives	(20,279		)	5,031			835			—			(14,413		)
Recognized on hedged items	21,460			(5,243		)	3,137			—			19,354
Gains/(losses) on fair value hedging relationships	$	1,181		$	(212	)	$	3,972		$	—		$	4,941
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	—			—			316			—			316
Recognized on hedged items	—			—			(9,182		)	—			(9,182		)
Discount amortization recognized on hedged items	—			—			(6		)	—			(6		)
Expense recognized on cash flow hedges	$	—		$	—		$	(8,872	)	$	—		$	(8,872	)
Losses on financial derivatives not designated in hedge relationships:
Gains on interest rate swaps	—			—			—			7,206			7,206
Interest expense on interest rate swaps	—			—			—			(10,920		)	(10,920		)
Treasury futures	—			—			—			27			27
Losses on financial derivatives not designated in hedge relationships	$	—		$	—		$	—		$	(3,687	)	$	(3,687	)

	For the Year Ended December 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
	(in thousands)
Total amounts presented in the consolidated statement of operations	$	203,796		$	162,150		$	(242,885	)	$	753		$	123,814
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	(10,346		)	(1,141		)	2,642			—			(8,845		)
Recognized on hedged items	46,389			3,379			(14,283		)	—			35,485
Discount amortization recognized on hedged items	—			—			(345		)	—			(345		)
Income/(expense) related to interest settlements on fair value hedging relationships	$	36,043		$	2,238		$	(11,986	)	$	—		$	26,295
Losses on fair value hedging relationships:
Recognized on derivatives(1)	—			—			—			1,694			1,694
Recognized on hedged items	—			—			—			(2,413		)	(2,413		)
Losses on fair value hedging relationships	$	—		$	—		$	—		$	(719	)	$	(719	)
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—		$	—		$	(1,974	)	$	—		$	(1,974	)
Recognized on hedged items	—			—			(4,133		)	—			(4,133		)
Discount amortization recognized on hedged items	—			—			(5		)	—			(5		)
Losses recognized in income for hedge ineffectiveness	—			—			—			(320		)	(320		)
Expense recognized on cash flow hedges	$	—		$	—		$	(6,112	)	$	(320	)	$	(6,432	)
Gains on financial derivatives not designated in hedging relationships:
Gains on interest rate swaps	$	—		$	—		$	—		$	12,240		$	12,240
Interest expense on interest rate swaps	—			—			—			(10,200		)	(10,200		)
Agency forwards	—			—			—			(588		)	(588		)
Treasury futures	—			—			—			340			340
Gains on financial derivatives not designated in hedge relationships	$	—		$	—		$	—		$	1,792		$	1,792

⁽¹⁾  Included in the assessment of hedge effectiveness as of December 31, 2017, but excluded from the amounts in the table, were gains of $0.1 million for the year ended December 31, 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 year ended December 31, 2017 were gains of $0.6 million.

	For the Year Ended December 31, 2016
	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
	(in thousands)
Total amounts presented in the consolidated statement of operations	$	150,281		$	134,577		$	(171,626	)	$	2,311		$	115,543
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	(15,494		)	(1,011		)	132			—			(16,373		)
Recognized on hedged items	35,169			2,063			—			—			37,232
Discount amortization recognized on hedged items	—			—			—			—			—
Income/(expense) related to interest settlements on fair value hedging relationships	$	19,675		$	1,052		$	132		$	—		$	20,859
Gains on fair value hedging relationships:
Recognized on derivatives(1)	—			—			—			25,365			25,365
Recognized on hedged items	—			—			—			(20,322		)	(20,322		)
Gains on fair value hedging relationships	$	—		$	—		$	—		$	5,043		$	5,043
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—		$	—		$	(2,126	)	$	—		$	(2,126	)
Recognized on hedged items	—			—			(1,437		)	—			(1,437		)
Discount amortization recognized on hedged items	—			—			(1		)	—			(1		)
Losses recognized in income for hedge ineffectiveness	—			—			—			(353		)	(353		)
Expense recognized on cash flow hedges	$	—		$	—		$	(3,564	)	$	(353	)	$	(3,917	)
Losses on financial derivatives not designated in hedging relationships:
Gains on interest rate swaps	$	—		$	—		$	—		$	9,489		$	9,489
Interest expense on interest rate swaps	—			—			—			(11,480		)	(11,480		)
Agency forwards	—			—			—			(226		)	(226		)
Treasury futures	—			—			—			(162		)	(162		)
Losses on financial derivatives not designated in hedge relationships	$	—		$	—		$	—		$	(2,379	)	$	(2,379	)