Financial Derivatives (Tables)

12 Months Ended

Dec. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position

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 December 31, 2021 and December 31, 2020:

Table 6.1

	As of December 31, 2021
			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	$	6,238,438	$	11,554	$	(583)	2.06%	0.13%		11.64
Receive fixed non-callable	5,884,529		15		(8,383)		0.17%	0.88%		2.27
Receive fixed callable	1,571,577		103		(17,612)		0.01%	0.80%		4.17
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	570,000		6,905		(2,763)		1.93%	0.49%		5.72
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	229,062		—		(4,641)		3.22%	0.16%		4.95
Receive fixed non-callable	1,377,250		—		—		0.13%	0.43%		0.97
Basis swaps	1,608,911		489		(280)		0.17%	0.20%		3.31
Treasury futures	67,600		73		—				130.58
Credit valuation adjustment			—		14
Total financial derivatives	$	17,547,367	$	19,139	$	(34,248)
Collateral (held)/pledged			—		194,519
Net amount			$	19,139	$	160,271

	As of December 31, 2020
			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	$	5,463,303	$	10,157	$	(2,585)	2.26%	0.21%		11.95
Receive fixed non-callable	2,611,029		2		(8,755)		0.32%	1.61%		2.10
Receive fixed callable	343,500		3,108		(4)		0.16%	1.78%		3.16
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	472,000		2,584		(8,771)		2.04%	0.57%		6.04
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	339,090		—		(9,675)		2.38%	0.19%		4.23
Receive fixed non-callable	2,359,220		—		—		0.16%	0.87%		1.07
Receive fixed callable	200,000		1		(12)		0.13%	0.15%		0.72
Basis swaps	3,628,911		1,617		(43)		0.18%	0.23%		2.03
Treasury futures	30,500		—		(82)				137.81
Credit valuation adjustment			(1)		35
Total financial derivatives	$	15,447,553	$	17,468	$	(29,892)
Collateral (held)/pledged			(1,345)		212,263
Net amount			$	16,123	$	182,371

Schedule of Net Income/(Expense) Recognized

The following tables summarize the net income/(expense) recognized in the consolidated statements of operations related to derivatives for the years ended December 31, 2021, 2020, and 2019:

Table 6.2

	For the Year Ended December 31, 2021
	Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives
	Net Interest Income								Non-Interest Income		Total
	Interest Income Investments and Cash Equivalents		Interest Income Farmer Mac Guaranteed Securities and USDA Securities		Interest Income Loans		Total Interest Expense		Losses on financial derivatives
	(in thousands)
Total amounts presented in the consolidated statement of operations	$	18,660	$	163,547	$	242,582	$	(204,014)	$	(3,348)	$	217,427
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	(1,002)		(85,302)		(27,167)		42,591		—		(70,880)
Recognized on hedged items	1,792		119,896		46,842		(51,484)		—		117,046
Discount amortization recognized on hedged items	—		—		—		(1,118)		—		(1,118)
Income/(expense) related to interest settlements on fair value hedging relationships	$	790	$	34,594	$	19,675	$	(10,011)	$	—	$	45,048
Gains/(losses) on fair value hedging relationships:
Recognized on derivatives	$	1,688	$	177,077	$	97,459	$	(98,332)	$	—	$	177,892
Recognized on hedged items	(1,218)		(176,304)		(97,502)		95,617		—		(179,407)
Gains/(losses) on fair value hedging relationships	$	470	$	773	$	(43)	$	(2,715)	$	—	$	(1,515)
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—	$	—	$	—	$	(7,399)	$	—	$	(7,399)
Recognized on hedged items	—		—		—		(2,657)		—		(2,657)
Discount amortization recognized on hedged items	—		—		—		(37)		—		(37)
Expense recognized on cash flow hedges	$	—	$	—	$	—	$	(10,093)	$	—	$	(10,093)
Losses on financial derivatives not designated in hedging relationships:
Losses on interest rate swaps	$	—	$	—	$	—	$	—	$	(5,816)	$	(5,816)
Interest expense on interest rate swaps	—		—		—		—		3,259		3,259
Treasury futures	—		—		—		—		(791)		(791)
Losses on financial derivatives not designated in hedge relationships	$	—	$	—	$	—	$	—	$	(3,348)	$	(3,348)

	For The Year Ended December 31, 2020
	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 on financial derivatives
	(in thousands)
Total amounts presented in the consolidated statement of operations:	$	227,691	$	233,699	$	(312,946)	$	(246)	$	148,198
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	(60,056)		(19,135)		26,386		—		(52,805)
Recognized on hedged items	126,170		40,793		(51,230)		—		115,733
Discount amortization recognized on hedged items	—		—		(745)		—		(745)
Income/(expense) related to interest settlements on fair value hedging relationships	$	66,114	$	21,658	$	(25,589)	$	—	$	62,183
(Losses)/gains on fair value hedging relationships:
Recognized on derivatives	$	(206,281)	$	(76,565)	$	43,332	$	—	$	(239,514)
Recognized on hedged items	202,624		73,426		(45,720)		—		230,330
(Losses)/gains on fair value hedging relationships	$	(3,657)	$	(3,139)	$	(2,388)	$	—	$	(9,184)
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—	$	—	$	(5,570)	$	—	$	(5,570)
Recognized on hedged items	—		—		(4,553)		—		(4,553)
Discount amortization recognized on hedged items	—		—		(13)		—		(13)
Expense recognized on cash flow hedges	$	—	$	—	$	(10,136)	$	—	$	(10,136)
(Losses)/gains on financial derivatives not designated in hedge relationships:
Losses on interest rate swaps	$	—	$	—	$	—	$	(4,204)	$	(4,204)
Interest expense on interest rate swaps	—		—		—		5,808		5,808
Treasury futures	—		—		—		(1,850)		(1,850)
(Losses)/gains on financial derivatives not designated in hedge relationships	$	—	$	—	$	—	$	(246)	$	(246)

	For The Year Ended December 31, 2019
	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
	(in thousands)
Total amounts presented in the consolidated statement of operations	$	333,896	$	229,675	$	(471,958)	$	5,282	$	96,895
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	(2,177)		(2,053)		(6,227)		—		(10,457)
Recognized on hedged items	118,609		26,352		(45,309)		—		99,652
Discount amortization recognized on hedged items	—		—		(631)		—		(631)
Income/(expense) related to interest settlements on fair value hedging relationships	$	116,432	$	24,299	$	(52,167)	$	—	$	88,564
(Losses)/gains on fair value hedging relationships:
Recognized on derivatives	$	(184,478)	$	(50,141)	$	18,401	$	—	$	(216,218)
Recognized on hedged items	181,144		43,194		(16,027)		—		208,311
(Losses)/gains on fair value hedging relationships	$	(3,334)	$	(6,947)	$	2,374	$	—	$	(7,907)
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—	$	—	$	1,166	$	—	$	1,166
Recognized on hedged items	—		—		(10,569)		—		(10,569)
Discount amortization recognized on hedged items	—		—		(4)		—		(4)
Expense recognized on cash flow hedges	$	—	$	—	$	(9,407)	$	—	$	(9,407)
Gains on financial derivatives not designated in hedging relationships:
Gains on interest rate swaps	$	—	$	—	$	—	$	10,321	$	10,321
Interest expense on interest rate swaps	—		—		—		(4,213)		(4,213)
Treasury futures	—		—		—		(826)		(826)
Gains on financial derivatives not designated in hedge relationships	$	—	$	—	$	—	$	5,282	$	5,282

Schedule of Hedged Items in Fair Value Hedging Relationships

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, 2021 and December 31, 2020:

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, 2021		December 31, 2020		December 31, 2021		December 31, 2020
	(in thousands)
Investment securities, Available-for-Sale, at fair value	$	458,653	$	—	$	(1,218)	$	—
Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value(1)	4,276,002		4,244,027		206,520		382,825
Loans held for investment, at amortized cost(2)	1,668,142		1,692,609		13,832		111,333
Notes Payable(3)	(7,083,535)		(3,006,140)		42,377		(53,240)

(1)Includes $1.3 million and $1.6 million of hedging adjustments on discontinued hedging relationships as of December 31, 2021 and December 31, 2020, respectively.

(2)Includes $1.2 million and $1.4 million of hedging adjustments on a discontinued hedging relationship as of December 31, 2021 and December 31, 2020, respectively.

(3)Carrying amount represents amortized cost.

Schedule of Credit Exposure to Interest Rate Swap Counterparties

The following table shows Farmer Mac's credit exposure to interest rate swap counterparties as of December 31, 2021 and December 31, 2020:

Table 6.4

	December 31, 2021
	Gross Amount Recognized(1)		Counterparty Netting		Net Amount Presented in the Consolidated Balance Sheet
	(in thousands)
Assets:
Derivatives
Interest rate swap	$	91,130	$	91,130	$	—
Liabilities:
Derivatives
Interest rate swap	$	404,063	$	386,249	$	17,814

(1)Gross amount excludes netting arrangements and any adjustment for nonperformance risk, but includes accrued interest.

	December 31, 2020
	Gross Amount Recognized(1)		Counterparty Netting		Net Amount Presented in the Consolidated Balance Sheet
	(in thousands)
Assets:
Derivatives
Interest rate swaps	$	112,287	$	111,761	$	526
Liabilities:
Derivatives
Interest rate swaps	$	620,236	$	595,867	$	24,369

(1)Gross amount excludes netting arrangements and any adjustment for nonperformance risk, but includes accrued interest.