XML 35 R25.htm IDEA: XBRL DOCUMENT

Financial Derivatives (Tables)

9 Months Ended

Sep. 30, 2023

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. The table below includes accrued interest on cleared swaps, but excludes $14.3 million and $6.1 million of accrued interest receivable and $6.3 million and $3.6 million of accrued interest payable on uncleared swaps as of September 30, 2023 and December 31, 2022, respectively. The aforementioned accrued interest on uncleared swaps is included within Accrued Interest Receivable and Accrued Interest Payable on the consolidated balance sheets.

Table 4.1


	As of September 30, 2023
			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:
Receive fixed non-callable	$	8,942,935	$	2,996	$	(11)	5.46%	2.74%		1.67
Pay fixed non-callable	8,830,943		81		(11,054)		2.39%	5.33%		9.89
Receive fixed callable	4,181,077		—		(179,299)		5.26%	3.06%		2.37
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	563,000		27,510		(372)		1.94%	5.74%		4.51
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	183,882		1,240		(166)		2.92%	5.44%		4.01
Receive fixed non-callable	851,146		69		(3)		5.34%	4.51%		0.70

Basis swaps	895,384		58		(625)		5.43%	5.45%		3.89
Treasury futures	11,900		81		(12)				108.64
Netting adjustments(1)			(3,180)		3,180
Total financial derivatives	$	24,460,267	$	28,855	$	(188,362)

(1)Amounts represent the application of the netting requirements that allow Farmer Mac to settle positive and negative positions, including accrued interest, held or placed with the same clearing agent.


	As of December 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:
Receive fixed non-callable	$	10,033,750	$	19	$	(4,686)	4.31%	2.03%		1.64
Pay fixed non-callable	8,149,871		13,689		(366)		2.23%	4.33%		10.76
Receive fixed callable	2,764,577		461		(174,757)		4.21%	1.98%		3.18
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	588,000		27,275		—		1.93%	4.72%		5.05
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	187,479		1,065		(1)		3.05%	4.09%		4.52
Receive fixed non-callable	287,750		—		(130)		4.31%	1.16%		1.76

Basis swaps	1,860,384		112		(456)		4.40%	4.42%		2.46
Treasury futures	6,800		—		(142)				114.38

Netting adjustments(1)			(5,212)		5,212
Total financial derivatives	$	23,878,611	$	37,409	$	(175,326)

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 nine months ended September 30, 2023 and 2022:

Table 4.2


	For the Three Months Ended September 30, 2023
	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	$	79,947	$	161,351	$	140,513	$	(294,168)	$	2,671	$	90,314
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	9,950		40,114		17,692		(92,663)		—		(24,907)
Recognized on hedged items	9,006		46,303		16,089		(91,525)		—		(20,127)
Premium/discount amortization recognized on hedged items	623		—		—		(732)		—		(109)
Income/(expense) related to interest settlements on fair value hedging relationships	$	19,579	$	86,417	$	33,781	$	(184,920)	$	—	$	(45,143)

Gains/(losses) on fair value hedging relationships:
Recognized on derivatives	$	42,051	$	110,196	$	107,265	$	9,475	$	—	$	268,987
Recognized on hedged items	(41,944)		(107,965)		(105,403)		(10,465)		—		(265,777)
Gains/(losses) on fair value hedging relationships	$	107	$	2,231	$	1,862	$	(990)	$	—	$	3,210

Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—	$	—	$	—	$	5,569	$	—	$	5,569
Recognized on hedged items	—		—		—		(8,287)		—		(8,287)
Discount amortization recognized on hedged items	—		—		—		(14)		—		(14)
Expense recognized on cash flow hedges	$	—	$	—	$	—	$	(2,732)	$	—	$	(2,732)

Gains on financial derivatives not designated in hedging relationships:
Gains on interest rate swaps	$	—	$	—	$	—	$	—	$	2,772	$	2,772
Interest expense on interest rate swaps	—		—		—		—		(805)		(805)

Treasury futures	—		—		—		—		704		704
Gains on financial derivatives not designated in hedge relationships	$	—	$	—	$	—	$	—	$	2,671	$	2,671


	For the Three Months Ended September 30, 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:	$	21,581	$	74,695	$	97,514	$	(125,937)	$	772	$	68,625
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	957		(350)		1,837		(22,679)		—		(20,235)
Recognized on hedged items	4,617		35,763		14,857		(35,263)		—		19,974
Discount amortization recognized on hedged items	(59)		—		—		(549)		—		(608)
Income/(expense) related to interest settlements on fair value hedging relationships	$	5,515	$	35,413	$	16,694	$	(58,491)	$	—	$	(869)

(Losses)/gains on fair value hedging relationships:
Recognized on derivatives	$	49,373	$	201,864	$	105,683	$	(197,884)	$	—	$	159,036
Recognized on hedged items	(52,308)		(204,765)		(100,490)		197,902		—		(159,661)
(Losses)/gains on fair value hedging relationships	$	(2,935)	$	(2,901)	$	5,193	$	18	$	—	$	(625)

Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—	$	—	$	—	$	1,072	$	—	$	1,072
Recognized on hedged items	—		—		—		(4,046)		—		(4,046)
Discount amortization recognized on hedged items	—		—		—		(15)		—		(15)
Expense recognized on cash flow hedges	$	—	$	—	$	—	$	(2,989)	$	—	$	(2,989)

Gains on financial derivatives not designated in hedge relationships:
Gains on interest rate swaps	$	—	$	—	$	—	$	—	$	5,054	$	5,054
Interest expense on interest rate swaps	—		—		—		—		(2,613)		(2,613)

Treasury futures	—		—		—		—		(1,669)		(1,669)
Gains on financial derivatives not designated in hedge relationships	$	—	$	—	$	—	$	—	$	772	$	772


	For the Nine Months Ended September 30, 2023
	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	$	209,429	$	442,649	$	388,837	$	(795,537)	$	4,763	$	250,141
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	24,952		104,023		46,625		(258,358)		—		(82,758)
Recognized on hedged items	23,865		133,995		47,144		(243,053)		—		(38,049)
Premium/discount amortization recognized on hedged items	1,399		—		—		(2,137)		—		(738)
Income/(expense) related to interest settlements on fair value hedging relationships	$	50,216	$	238,018	$	93,769	$	(503,548)	$	—	$	(121,545)

(Losses)/gains on fair value hedging relationships:
Recognized on derivatives	$	45,722	$	117,267	$	97,346	$	50,916	$	—	$	311,251
Recognized on hedged items	(46,485)		(116,591)		(97,827)		(52,144)		—		(313,047)
(Losses)/gains on fair value hedging relationships	$	(763)	$	676	$	(481)	$	(1,228)	$	—	$	(1,796)

Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—	$	—	$	—	$	15,051	$	—	$	15,051
Recognized on hedged items	—		—		—		(23,325)		—		(23,325)
Discount amortization recognized on hedged items	—		—		—		(41)		—		(41)
Expense recognized on cash flow hedges	$	—	$	—	$	—	$	(8,315)	$	—	$	(8,315)

Gains on financial derivatives not designated in hedging relationships:
Gains on interest rate swaps	$	—	$	—	$	—	$	—	$	5,263	$	5,263
Interest expense on interest rate swaps	—		—		—		—		(3,999)		(3,999)

Treasury futures	—		—		—		—		3,499		3,499
Gains on financial derivatives not designated in hedge relationships	$	—	$	—	$	—	$	—	$	4,763	$	4,763


	For the Nine Months Ended September 30, 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:	$	38,497	$	169,231	$	241,393	$	(251,816)	$	21,551	$	218,856
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	(1,536)		(37,687)		(9,568)		(3,831)		—		(52,622)
Recognized on hedged items	10,433		102,123		41,146		(76,862)		—		76,840
Discount amortization recognized on hedged items	(816)		—		—		(1,478)		—		(2,294)
Income/(expense) related to interest settlements on fair value hedging relationships	$	8,081	$	64,436	$	31,578	$	(82,171)	$	—	$	21,924

(Losses)/gains on fair value hedging relationships:
Recognized on derivatives	$	106,935	$	563,897	$	347,034	$	(523,432)	$	—	$	494,434
Recognized on hedged items	(108,002)		(564,679)		(337,443)		521,643		—		(488,481)
(Losses)/gains on fair value hedging relationships	$	(1,067)	$	(782)	$	9,591	$	(1,789)	$	—	$	5,953

Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—	$	—	$	—	$	(2,094)	$	—	$	(2,094)
Recognized on hedged items	—		—		—		(6,654)		—		(6,654)
Discount amortization recognized on hedged items	—		—		—		(43)		—		(43)
Expense recognized on cash flow hedges	$	—	$	—	$	—	$	(8,791)	$	—	$	(8,791)

Gains on financial derivatives not designated in hedge relationships:
Gains on interest rate swaps	$	—	$	—	$	—	$	—	$	10,954	$	10,954
Interest expense on interest rate swaps	—		—		—		—		(5,496)		(5,496)

Treasury futures	—		—		—		—		16,093		16,093
Gains on financial derivatives not designated in hedge relationships	$	—	$	—	$	—	$	—	$	21,551	$	21,551

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 September 30, 2023 and December 31, 2022:

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, 2023		December 31, 2022		September 30, 2023		December 31, 2022
	(in thousands)
Investment securities, Available-for-Sale, at fair value	$	1,138,569	$	876,063	$	(153,592)	$	(107,107)
Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value	5,025,413		4,814,784		(463,464)		(346,873)
Loans held for investment, at amortized cost	1,570,732		1,623,301		(425,105)		(327,278)

Notes Payable(1)	(12,614,569)		(12,151,382)		478,942		531,086

(1)Carrying amount represents amortized cost.

Offsetting Assets

The following tables present the fair value of financial assets and liabilities, based on the terms of Farmer Mac's master netting arrangements as of September 30, 2023 and December 31, 2022:

Table 4.4


	September 30, 2023
							Gross Amounts Not Offset in the Consolidated Balance Sheet
	Gross Amount Recognized		Gross Amounts offset in the Consolidated Balance Sheet		Net Amount Presented in the Consolidated Balance Sheet(1)		Netting Adjustments		Financial instruments pledged		Cash Collateral(2)		Net Amount
	(in thousands)
Assets:
Uncleared derivatives	$	27,583	$	—	$	27,583	$	(27,501)	$	—	$	—	$	82
Cleared derivatives	3,180		(3,180)		—		—		—		—		—
Total	$	30,763	$	(3,180)	$	27,583	$	(27,501)	$	—	$	—	$	82

Liabilities:
Uncleared derivatives	$	(150,625)	$	—	$	(150,625)	$	27,501	$	—	$	120,556	$	(2,568)
Cleared derivatives	(11,622)		3,180		(8,442)		—		204,407		—		195,965
Total	$	(162,247)	$	3,180	$	(159,067)	$	27,501	$	204,407	$	120,556	$	193,397

(1)Amounts presented may not agree to the consolidated balance sheet related to counterparties not subject to master netting agreements.

(2)Cash collateral excludes $24.1 million of collateral posted related to counterparties not subject to master netting agreements.


	December 31, 2022
							Gross Amounts Not Offset in the Consolidated Balance Sheet
	Gross Amount Recognized		Gross Amounts offset in the Consolidated Balance Sheet		Net Amount Presented in the Consolidated Balance Sheet(1)		Netting Adjustments		Financial instruments pledged		Cash Collateral(2)		Net Amount
	(in thousands)
Assets:
Uncleared derivatives	$	27,132	$	—	$	27,132	$	(27,132)	$	—	$	—	$	—
Cleared derivatives	14,450		(5,212)		9,238		—		203,993		—		213,231
Total	$	41,582	$	(5,212)	$	36,370	$	(27,132)	$	203,993	$	—	$	213,231

Liabilities:
Uncleared derivatives	$	(149,864)	$	—	$	(149,864)	$	27,132	$	—	$	121,065	$	(1,667)
Cleared derivatives	(5,212)		5,212		—		—		—		—		—
Total	$	(155,076)	$	5,212	$	(149,864)	$	27,132	$	—	$	121,065	$	(1,667)

(1)Amounts presented may not agree to the consolidated balance sheet related to counterparties not subject to master netting agreements.

(2)Cash collateral excludes $23.7 million of collateral posted related to counterparties not subject to master netting agreements.

Offsetting Liabilities

The following tables present the fair value of financial assets and liabilities, based on the terms of Farmer Mac's master netting arrangements as of September 30, 2023 and December 31, 2022:

Table 4.4


	September 30, 2023
							Gross Amounts Not Offset in the Consolidated Balance Sheet
	Gross Amount Recognized		Gross Amounts offset in the Consolidated Balance Sheet		Net Amount Presented in the Consolidated Balance Sheet(1)		Netting Adjustments		Financial instruments pledged		Cash Collateral(2)		Net Amount
	(in thousands)
Assets:
Uncleared derivatives	$	27,583	$	—	$	27,583	$	(27,501)	$	—	$	—	$	82
Cleared derivatives	3,180		(3,180)		—		—		—		—		—
Total	$	30,763	$	(3,180)	$	27,583	$	(27,501)	$	—	$	—	$	82

Liabilities:
Uncleared derivatives	$	(150,625)	$	—	$	(150,625)	$	27,501	$	—	$	120,556	$	(2,568)
Cleared derivatives	(11,622)		3,180		(8,442)		—		204,407		—		195,965
Total	$	(162,247)	$	3,180	$	(159,067)	$	27,501	$	204,407	$	120,556	$	193,397

(1)Amounts presented may not agree to the consolidated balance sheet related to counterparties not subject to master netting agreements.

(2)Cash collateral excludes $24.1 million of collateral posted related to counterparties not subject to master netting agreements.


	December 31, 2022
							Gross Amounts Not Offset in the Consolidated Balance Sheet
	Gross Amount Recognized		Gross Amounts offset in the Consolidated Balance Sheet		Net Amount Presented in the Consolidated Balance Sheet(1)		Netting Adjustments		Financial instruments pledged		Cash Collateral(2)		Net Amount
	(in thousands)
Assets:
Uncleared derivatives	$	27,132	$	—	$	27,132	$	(27,132)	$	—	$	—	$	—
Cleared derivatives	14,450		(5,212)		9,238		—		203,993		—		213,231
Total	$	41,582	$	(5,212)	$	36,370	$	(27,132)	$	203,993	$	—	$	213,231

Liabilities:
Uncleared derivatives	$	(149,864)	$	—	$	(149,864)	$	27,132	$	—	$	121,065	$	(1,667)
Cleared derivatives	(5,212)		5,212		—		—		—		—		—
Total	$	(155,076)	$	5,212	$	(149,864)	$	27,132	$	—	$	121,065	$	(1,667)

(1)Amounts presented may not agree to the consolidated balance sheet related to counterparties not subject to master netting agreements.

(2)Cash collateral excludes $23.7 million of collateral posted related to counterparties not subject to master netting agreements.

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References + Details