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Financial Derivatives (Tables)
6 Months Ended
Jun. 30, 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 June 30, 2022 and December 31, 2021:

Table 4.1
  As of June 30, 2022
  Fair ValueWeighted-
Average
Pay Rate
Weighted-
Average Receive Rate
Weighted-
Average
Forward
Price
Weighted-
Average
Remaining
Term (in years)
  Notional AmountAsset(Liability)
  (dollars in thousands)
Fair value hedges:
Interest rate swaps:
Pay fixed non-callable$7,292,155 $6,060 $(1,665)2.07%1.44%11.57
Receive fixed non-callable7,686,279 1,971 (7,136)1.44%1.20%1.99
Receive fixed callable1,993,577 — (117,102)1.32%1.17%3.66
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable617,000 21,061 (102)1.94%1.89%5.39
No hedge designation:
Interest rate swaps:
Pay fixed non-callable211,147 317 (463)3.26%1.23%4.56
Receive fixed non-callable724,750 — — 1.43%0.36%0.98
Basis swaps1,793,911 252 (484)1.26%1.44%2.80
Treasury futures97,500 350(1,046)117.82 
Credit valuation adjustment— 15    
Total financial derivatives$20,416,319 $30,011 $(127,983)      
Collateral (held)/pledged— 288,224 
Net amount$30,011 $160,241 
  As of December 31, 2021
  Fair ValueWeighted-
Average
Pay Rate
Weighted-
Average Receive Rate
Weighted-
Average
Forward
Price
Weighted-
Average
Remaining
Term (in years)
  Notional AmountAsset(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-callable5,884,529 15 (8,383)0.17%0.88%2.27
Receive fixed callable1,571,577 103 (17,612)0.01%0.80%4.17
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable570,000 6,905 (2,763)1.93%0.49%5.72
No hedge designation:
Interest rate swaps:
Pay fixed non-callable229,062 — (4,641)3.22%0.16%4.95
Receive fixed non-callable1,377,250 — — 0.13%0.43%0.97
Basis swaps1,608,911 489 (280)0.17%0.20%3.31
Treasury futures67,600 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 and six months ended June 30, 2022 and 2021:

Table 4.2
For the Three Months Ended June 30, 2022
Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives
Net Interest IncomeNon-Interest IncomeTotal
Interest Income Investments and Cash Equivalents Interest Income Farmer Mac Guaranteed Securities and USDA SecuritiesInterest Income LoansTotal Interest ExpenseGains on financial derivatives
(in thousands)
Total amounts presented in the consolidated statement of operations$11,200 $57,104 $76,632 $(75,534)$3,418 $72,820 
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives(1,008)(15,693)(4,459)4,648 — (16,512)
Recognized on hedged items3,219 34,431 13,669 (23,443)— 27,876 
Premium/discount amortization recognized on hedged items(343)— — (484)— (827)
Income/(expense) related to interest settlements on fair value hedging relationships$1,868 $18,738 $9,210 $(19,279)$— $10,537 
Gains/(losses) on fair value hedging relationships:
Recognized on derivatives$24,138 $153,670 $109,419 $(86,481)$— $200,746 
Recognized on hedged items(22,969)(149,266)(107,347)84,873 — (194,709)
Gains/(losses) on fair value hedging relationships$1,169 $4,404 $2,072 $(1,608)$— $6,037 
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives$— $— $— $(1,155)$— $(1,155)
Recognized on hedged items— — — (1,821)— (1,821)
Discount amortization recognized on hedged items— — — (15)— (15)
Expense recognized on cash flow hedges$— $— $— $(2,991)$— $(2,991)
Gains on financial derivatives not designated in hedging relationships:
Gains on interest rate swaps$— $— $— $— $3,911 $3,911 
Interest expense on interest rate swaps— — — — (1,955)(1,955)
Treasury futures— — — — 1,462 1,462 
Gains on financial derivatives not designated in hedge relationships$— $— $— $— $3,418 $3,418 
For the Three Months Ended June 30, 2021
Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives
Net Interest IncomeNon-Interest IncomeTotal
Interest Income Investments and Cash Equivalents Interest Income Farmer Mac Guaranteed Securities and USDA SecuritiesInterest Income LoansTotal Interest ExpenseLosses on financial derivatives
(in thousands)
Total amounts presented in the consolidated statement of operations$4,457 $42,414 $60,214 $(51,956)$(3,066)$52,063 
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives(35)(21,604)(6,704)9,811 — (18,532)
Recognized on hedged items67 30,565 11,635 (12,141)— 30,126 
Discount amortization recognized on hedged items— — — (257)— (257)
Income/(expense) related to interest settlements on fair value hedging relationships$32 $8,961 $4,931 $(2,587)$— $11,337 
Gains/(losses) on fair value hedging relationships:
Recognized on derivatives$(176)$(48,680)$(65,147)$(2,657)$— $(116,660)
Recognized on hedged items188 49,878 63,978 891 — 114,935 
Gains/(losses) on fair value hedging relationships$12 $1,198 $(1,169)$(1,766)$— $(1,725)
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives$— $— $— $(1,776)$— $(1,776)
Recognized on hedged items— — — (643)— (643)
Discount amortization recognized on hedged items— — — (8)— (8)
Expense recognized on cash flow hedges$— $— $— $(2,427)$— $(2,427)
Losses on financial derivatives not designated in hedging relationships:
Losses on interest rate swaps$— $— $— $— $(3,739)$(3,739)
Interest expense on interest rate swaps— — — — 1,098 1,098 
Treasury futures— — — — (425)(425)
Losses on financial derivatives not designated in hedge relationships$— $— $— $— $(3,066)$(3,066)
For the Six Months Ended June 30, 2022
Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives
Net Interest IncomeNon-Interest IncomeTotal
Interest Income Investments and Cash Equivalents Interest Income Farmer Mac Guaranteed Securities and USDA SecuritiesInterest Income LoansTotal Interest ExpenseGains on financial derivatives
(in thousands)
Total amounts presented in the consolidated statement of operations$16,916 $96,361 $143,879 $(125,879)$19,492 $150,769 
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives(2,492)(37,337)(11,405)18,848 — (32,386)
Recognized on hedged items5,816 66,359 26,288 (41,599)— 56,864 
Premium/discount amortization recognized on hedged items(757)— — (924)— (1,681)
Income/(expense) related to interest settlements on fair value hedging relationships$2,567 $29,022 $14,883 $(23,675)$— $22,797 
Gains/(losses) on fair value hedging relationships:
Recognized on derivatives$57,562 $363,858 $241,351 $(323,494)$— $339,277 
Recognized on hedged items(55,694)(359,914)(236,953)321,687 — (330,874)
Gains/(losses) on fair value hedging relationships$1,868 $3,944 $4,398 $(1,807)$— $8,403 
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives$— $— $— $(3,166)$— $(3,166)
Recognized on hedged items— — — (2,608)— (2,608)
Discount amortization recognized on hedged items— — — (29)— (29)
Expense recognized on cash flow hedges$— $— $— $(5,803)$— $(5,803)
Gains on financial derivatives not designated in hedging relationships:
Gains on interest rate swaps$— $— $— $— $4,614 $4,614 
Interest expense on interest rate swaps— — — — (2,883)(2,883)
Treasury futures— — — — 17,761 17,761 
Gains on financial derivatives not designated in hedge relationships$— $— $— $— $19,492 $19,492 
For the Six Months Ended June 30, 2021
Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives
Net Interest IncomeNon-Interest IncomeTotal
Interest Income Investments and Cash Equivalents Interest Income Farmer Mac Guaranteed Securities and USDA SecuritiesInterest Income LoansTotal Interest ExpenseGains on financial derivatives
(in thousands)
Total amounts presented in the consolidated statement of operations:$9,986 $84,818 $119,708 $(106,132)$1,227 $109,607 
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives(35)(43,041)(13,275)19,292 — (37,059)
Recognized on hedged items67 61,341 23,122 (23,949)— 60,581 
Discount amortization recognized on hedged items— — — (478)— (478)
Income/(expense) related to interest settlements on fair value hedging relationships$32 $18,300 $9,847 $(5,135)$— $23,044 
Gains/(losses) on fair value hedging relationships:
Recognized on derivatives$(176)$119,396 $80,624 $(32,111)$— $167,733 
Recognized on hedged items188 (118,922)(80,770)30,392 — (169,112)
Gains/(losses) on fair value hedging relationships$12 $474 $(146)$(1,719)$— $(1,379)
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives$— $— $— $(3,523)$— $(3,523)
Recognized on hedged items— — — (1,298)— (1,298)
Discount amortization recognized on hedged items— — — (15)— (15)
Expense recognized on cash flow hedges$— $— $— $(4,836)$— $(4,836)
(Losses)/gains on financial derivatives not designated in hedge relationships:
Losses on interest rate swaps$— $— $— $— $(2,271)$(2,271)
Interest expense on interest rate swaps— — — — 3,322 3,322 
Treasury futures— — — — 176 176 
Gains on financial derivatives not designated in hedge relationships$— $— $— $— $1,227 $1,227 
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 June 30, 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)
June 30, 2022December 31, 2021June 30, 2022December 31, 2021
(in thousands)
Investment securities, Available-for-Sale, at fair value$677,549 $458,653 $(56,912)$(1,218)
Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value(1)
4,393,401 4,276,002 (153,395)206,520 
Loans held for investment, at amortized cost(2)
1,675,794 1,668,142 (223,069)13,832 
Notes Payable(3)
(9,162,760)(7,083,535)364,064 42,377 
(1)Includes $1.2 million and $1.3 million of hedging adjustments on discontinued hedging relationships as of June 30, 2022 and December 31, 2021, respectively.
(2)Includes $1.1 million and $1.2 million of hedging adjustments on a discontinued hedging relationship as of June 30, 2022 and December 31, 2021, 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 June 30, 2022 and December 31, 2021:

Table 4.4
June 30, 2022
Gross Amount Recognized(1)
Counterparty NettingNet Amount Presented in the Consolidated Balance Sheet
(in thousands)
Assets:
Derivatives
Interest rate swap$466,602 $466,602 $— 
Liabilities:
Derivatives
Interest rate swap$388,191 $350,366 $37,825 
(1)Gross amount excludes netting arrangements and any adjustment for nonperformance risk, but includes accrued interest.

December 31, 2021
Gross Amount Recognized(1)
Counterparty NettingNet 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.