Financial Derivatives (Tables)

3 Months Ended

Mar. 31, 2022

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 March 31, 2022 and December 31, 2021:

Table 4.1

	As of March 31, 2022
			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	$	7,209,418	$	8,657	$	(1,589)	1.92%	0.37%		11.00
Receive fixed non-callable	6,565,729		279		(11,149)		0.42%	0.91%		2.16
Receive fixed callable	1,883,577		—		(90,594)		0.25%	1.04%		3.90
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	617,000		15,900		(70)		1.92%	0.74%		5.64
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	227,918		265		(1,638)		3.24%	0.37%		4.72
Receive fixed non-callable	1,038,750		—		—		0.35%	0.40%		0.87
Basis swaps	1,393,911		191		(435)		0.45%	0.48%		3.56
Treasury futures	73,300		1,039		(128)				124.12
Credit valuation adjustment			(2)		29
Total financial derivatives	$	19,009,603	$	26,329	$	(105,574)
Collateral (held)/pledged			—		262,394
Net amount			$	26,329	$	156,820

	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

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 three months ended March 31, 2022 and 2021:

Table 4.2

	For the Three Months Ended March 31, 2022
	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		Gains on financial derivatives
	(in thousands)
Total amounts presented in the consolidated statement of operations	$	5,716	$	39,257	$	67,247	$	(50,345)	$	16,074	$	77,949
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	(1,484)		(21,644)		(6,946)		14,200		—		(15,874)
Recognized on hedged items	2,597		31,929		12,619		(18,157)		—		28,988
Premium/discount amortization recognized on hedged items	(414)		—		—		(440)		—		(854)
Income/(expense) related to interest settlements on fair value hedging relationships	$	699	$	10,285	$	5,673	$	(4,397)	$	—	$	12,260
Gains/(losses) on fair value hedging relationships:
Recognized on derivatives	$	33,425	$	210,188	$	131,932	$	(237,014)	$	—	$	138,531
Recognized on hedged items	(32,726)		(210,648)		(129,607)		236,814		—		(136,167)
Gains/(losses) on fair value hedging relationships	$	699	$	(460)	$	2,325	$	(200)	$	—	$	2,364
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—	$	—	$	—	$	(2,011)	$	—	$	(2,011)
Recognized on hedged items	—		—		—		(787)		—		(787)
Discount amortization recognized on hedged items	—		—		—		(13)		—		(13)
Expense recognized on cash flow hedges	$	—	$	—	$	—	$	(2,811)	$	—	$	(2,811)
Gains on financial derivatives not designated in hedging relationships:
Gains on interest rate swaps	$	—	$	—	$	—	$	—	$	703	$	703
Interest expense on interest rate swaps	—		—		—		—		(927)		(927)
Treasury futures	—		—		—		—		16,298		16,298
Gains on financial derivatives not designated in hedge relationships	$	—	$	—	$	—	$	—	$	16,074	$	16,074

	For the Three Months Ended March 31, 2021
	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 on financial derivatives
	(in thousands)
Total amounts presented in the consolidated statement of operations:	$	42,404	$	59,494	$	(54,176)	$	4,293	$	52,015
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	(21,437)		(6,572)		9,481		—		(18,528)
Recognized on hedged items	30,775		11,487		(11,808)		—		30,454
Discount amortization recognized on hedged items	—		—		(221)		—		(221)
Income/(expense) related to interest settlements on fair value hedging relationships	$	9,338	$	4,915	$	(2,548)	$	—	$	11,705
(Losses)/gains on fair value hedging relationships:
Recognized on derivatives	$	168,078	$	145,771	$	(29,455)	$	—	$	284,394
Recognized on hedged items	(168,801)		(144,749)		29,501		—		(284,049)
(Losses)/gains on fair value hedging relationships	$	(723)	$	1,022	$	46	$	—	$	345
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—	$	—	$	(1,746)	$	—	$	(1,746)
Recognized on hedged items	—		—		(655)		—		(655)
Discount amortization recognized on hedged items	—		—		(7)		—		(7)
Expense recognized on cash flow hedges	$	—	$	—	$	(2,408)	$	—	$	(2,408)
Gains on financial derivatives not designated in hedge relationships:
Gains on interest rate swaps	$	—	$	—	$	—	$	1,470	$	1,470
Interest expense on interest rate swaps	—		—		—		2,223		2,223
Treasury futures	—		—		—		600		600
Gains on financial derivatives not designated in hedge relationships	$	—	$	—	$	—	$	4,293	$	4,293

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 March 31, 2022 and December 31, 2021:

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, 2022		December 31, 2021		March 31, 2022		December 31, 2021
	(in thousands)
Investment securities, Available-for-Sale, at fair value	$	520,485	$	458,653	$	(33,944)	$	(1,218)
Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value(1)	4,826,536		4,276,002		(4,129)		206,520
Loans held for investment, at amortized cost(2)	1,672,092		1,668,142		(115,775)		13,832
Notes Payable(3)	(8,024,125)		(7,083,535)		279,191		42,377

(1)Includes $1.2 million and $1.3 million of hedging adjustments on discontinued hedging relationships as of March 31, 2022 and December 31, 2021, respectively.

(2)Includes $1.2 million of hedging adjustments on a discontinued hedging relationship as of both March 31, 2022 and December 31, 2021.

(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 March 31, 2022 and December 31, 2021:

Table 4.4

	March 31, 2022
	Gross Amount Recognized(1)		Counterparty Netting		Net Amount Presented in the Consolidated Balance Sheet
	(in thousands)
Assets:
Derivatives
Interest rate swap	$	258,067	$	232,963	$	25,104
Liabilities:
Derivatives
Interest rate swap	$	399,497	$	381,928	$	17,569

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

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

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