FINANCIAL DERIVATIVES (Tables)

12 Months Ended

Dec. 31, 2024

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 $15.8 million and $16.4 million of accrued interest receivable and $4.9 million and $6.5 million of accrued interest payable on uncleared swaps as of December 31, 2024 and 2023, respectively. The aforementioned accrued interest on uncleared swaps is included within Accrued Interest Receivable and Accrued Interest Payable on the consolidated balance sheets.

Table 6.1

	As of December 31, 2024
			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	$	7,460,685	$	174	$	(12,165)	4.71%	3.40%		1.53
Pay fixed non-callable	9,657,181		5,134		(97)		2.67%	4.56%		9.12
Receive fixed callable	4,592,077		5,119		(65,167)		4.54%	3.67%		2.65
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	540,000		16,903		(2)		1.92%	4.87%		3.43
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	157,776		819		(1)		2.92%	4.75%		3.40
Receive fixed non-callable	1,803,328		48		(2)		4.52%	4.43%		0.30
Basis swaps	655,384		8		(354)		4.69%	4.52%		3.83
Treasury futures	29,900		46		—				108.91
Netting adjustments(1)	—		(462)		462
Total financial derivatives	$	24,896,331	$	27,789	$	(77,326)

(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, 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	$	9,776,685	$	2,350	$	(20,390)	5.57%	2.94%		1.78
Pay fixed non-callable	9,174,253		7,767		(1,081)		2.50%	5.47%		9.57
Receive fixed callable	3,879,827		7,374		(95,984)		5.40%	3.40%		2.48
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	558,000		20,234		(43)		1.94%	5.82%		4.30
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	160,623		676		(29)		2.92%	5.64%		4.34
Receive fixed non-callable	1,358,396		263		(3)		5.44%	4.87%		0.64
Basis swaps	850,384		39		(746)		5.52%	5.48%		3.83
Treasury futures	21,300		11		(91)				112.51
Netting adjustments(1)	—		(1,236)		1,236
Total financial derivatives	$	25,779,468	$	37,478	$	(117,131)

(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.

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, 2024, 2023, and 2022:

Table 6.2

	For the Year Ended December 31, 2024
	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	$	345,501	$	628,828	$	629,187	$	(1,249,649)	$	2,636	$	356,503
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	40,224		147,922		68,346		(275,387)		—		(18,895)
Recognized on hedged items	44,303		213,759		69,516		(423,428)		—		(95,850)
Premium/discount amortization recognized on hedged items	2,134		—		—		(3,197)		—		(1,063)
Income/(expense) related to interest settlements on fair value hedging relationships	$	86,661	$	361,681	$	137,862	$	(702,012)	$	—	$	(115,808)
Gains/(losses) on fair value hedging relationships:
Recognized on derivatives	$	29,181	$	52,494	$	71,213	$	105,355	$	—	$	258,243
Recognized on hedged items	(28,502)		(49,922)		(66,852)		(101,419)		—		(246,695)
Gains/(losses) on fair value hedging relationships	$	679	$	2,572	$	4,361	$	3,936	$	—	$	11,548
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—	$	—	$	—	$	20,657	$	—	$	20,657
Recognized on hedged items	—		—		—		(31,241)		—		(31,241)
Discount amortization recognized on hedged items	—		—		—		(34)		—		(34)
Expense recognized on cash flow hedges	$	—	$	—	$	—	$	(10,618)	$	—	$	(10,618)
Gains on financial derivatives not designated in hedging relationships:
Gains on interest rate swaps	$	—	$	—	$	—	$	—	$	2,424	$	2,424
Interest expense on interest rate swaps	—		—		—		—		(1,377)		(1,377)
Treasury futures	—		—		—		—		1,589		1,589
Gains on financial derivatives not designated in hedge relationships	$	—	$	—	$	—	$	—	$	2,636	$	2,636

	For the Year Ended December 31, 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:	$	287,144	$	590,250	$	514,894	$	(1,064,741)	$	2,882	$	330,429
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	35,377		146,027		64,648		(345,852)		—		(99,800)
Recognized on hedged items	33,488		183,396		63,133		(341,523)		—		(61,506)
Premium/discount amortization recognized on hedged items	1,860		—		—		(2,865)		—		(1,005)
Income/(expense) related to interest settlements on fair value hedging relationships	$	70,725	$	329,423	$	127,781	$	(690,240)	$	—	$	(162,311)
(Losses)/gains on fair value hedging relationships:
Recognized on derivatives	$	(19,445)	$	(91,151)	$	(23,528)	$	279,803	$	—	$	145,679
Recognized on hedged items	18,472		89,437		21,686		(280,668)		—		(151,073)
(Losses)/gains on fair value hedging relationships	$	(973)	$	(1,714)	$	(1,842)	$	(865)	$	—	$	(5,394)
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—	$	—	$	—	$	20,643	$	—	$	20,643
Recognized on hedged items	—		—		—		(31,610)		—		(31,610)
Discount amortization recognized on hedged items	—		—		—		(55)		—		(55)
Expense recognized on cash flow hedges	$	—	$	—	$	—	$	(11,022)	$	—	$	(11,022)
Gains on financial derivatives not designated in hedge relationships:
Gains on interest rate swaps	$	—	$	—	$	—	$	—	$	4,395	$	4,395
Interest expense on interest rate swaps	—		—		—		—		(4,845)		(4,845)
Treasury futures	—		—		—		—		3,332		3,332
Gains on financial derivatives not designated in hedge relationships	$	—	$	—	$	—	$	—	$	2,882	$	2,882

	For the Year Ended December 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:	$	82,659	$	283,769	$	350,420	$	(445,908)	$	22,631	$	293,571
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	2,727		(19,486)		(501)		(61,941)		—		(79,201)
Recognized on hedged items	16,199		142,809		56,141		(132,406)		—		82,743
Premium/discount amortization recognized on hedged items	(754)		—		—		(2,116)		—		(2,870)
Income/(expense) related to interest settlements on fair value hedging relationships	$	18,172	$	123,323	$	55,640	$	(196,463)	$	—	$	672
(Losses)/gains on fair value hedging relationships:
Recognized on derivatives	$	104,722	$	553,530	$	351,116	$	(489,445)	$	—	$	519,923
Recognized on hedged items	(105,889)		(553,393)		(341,162)		486,323		—		(514,121)
(Losses)/gains on fair value hedging relationships	$	(1,167)	$	137	$	9,954	$	(3,122)	$	—	$	5,802
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—	$	—	$	—	$	1,213	$	—	$	1,213
Recognized on hedged items	—		—		—		(12,847)		—		(12,847)
Discount amortization recognized on hedged items	—		—		—		(57)		—		(57)
Expense recognized on cash flow hedges	$	—	$	—	$	—	$	(11,691)	$	—	$	(11,691)
Gains on financial derivatives not designated in hedge relationships:
Gains on interest rate swaps	$	—	$	—	$	—	$	—	$	13,012	$	13,012
Interest expense on interest rate swaps	—		—		—		—		(7,619)		(7,619)
Treasury futures	—		—		—		—		17,238		17,238
Gains on financial derivatives not designated in hedge relationships	$	—	$	—	$	—	$	—	$	22,631	$	22,631

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, 2024 and 2023:

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, 2024		December 31, 2023		December 31, 2024		December 31, 2023
	(in thousands)
Investment securities, Available-for-Sale, at fair value(1)	$	1,477,880	$	1,251,386	$	(117,137)	$	(88,635)
Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value(2)	5,478,484		5,497,948		(307,358)		(257,436)
Loans held for investment, at amortized cost	1,816,738		1,699,361		(372,444)		(305,592)
Notes Payable(3)	(11,899,049)		(13,350,111)		148,999		250,418

(1)Amortized cost of $1.6 billion and $1.4 billion as of December 31, 2024 and 2023, respectively.

(2)Amortized cost of $5.8 billion as of both December 31, 2024 and 2023.

(3)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 December 31, 2024 and 2023:

Table 6.4

	December 31, 2024
	Gross Amount Recognized		Gross Amounts offset in the Consolidated Balance Sheet		Net Amount Presented in the Consolidated Balance Sheet		Gross Amounts Not Offset in the Consolidated Balance Sheet
							Netting Adjustments		Financial instruments pledged		Cash Collateral		Net Amount(1)
	(in thousands)
Assets:
Uncleared derivatives	$	22,759	$	—	$	22,759	$	(22,061)	$	—	$	(652)	$	46
Cleared derivatives	5,492		(462)		5,030		—		(5,030)		—		—
Total	$	28,251	$	(462)	$	27,789	$	(22,061)	$	(5,030)	$	(652)	$	46
Liabilities:
Uncleared derivatives	$	(77,326)	$	—	$	(77,326)	$	22,061	$	—	$	44,299	$	(10,966)
Cleared derivatives	(462)		462		—		—		—		—		—
Total	$	(77,788)	$	462	$	(77,326)	$	22,061	$	—	$	44,299	$	(10,966)

(1)Any over-collateralization at an individual clearing agent and/or counterparty level is not included in the determination of the net amount. As of December 31, 2024, Farmer Mac had additional net exposure of $209.0 million due to instances where Farmer Mac's collateral to a counterparty exceeded the net derivative position and $4.7 million due to instances where Farmer Mac's collateral from a counterparty exceeded the net derivative position.

	December 31, 2023
	Gross Amount Recognized		Gross Amounts offset in the Consolidated Balance Sheet		Net Amount Presented in the Consolidated Balance Sheet(1)		Gross Amounts Not Offset in the Consolidated Balance Sheet
							Netting Adjustments		Financial instruments pledged		Cash Collateral(2)		Net Amount(3)
	(in thousands)
Assets:
Uncleared derivatives	$	25,751	$	—	$	25,751	$	(25,727)	$	—	$	—	$	24
Cleared derivatives	10,388		(1,236)		9,152		—		—		—		9,152
Total	$	36,139	$	(1,236)	$	34,903	$	(25,727)	$	—	$	—	$	9,176
Liabilities:
Uncleared derivatives	$	(100,114)	$	—	$	(100,114)	$	25,727	$	—	$	69,360	$	(5,027)
Cleared derivatives	(1,236)		1,236		—		—		—		—		—
Total	$	(101,350)	$	1,236	$	(100,114)	$	25,727	$	—	$	69,360	$	(5,027)

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

(2)Cash collateral excludes $15.2 million of collateral posted and $2.0 million of collateral received related to counterparties not subject to master netting agreements.

(3)Any over-collateralization at an individual clearing agent and/or counterparty level is not included in the determination of the net amount. As of December 31, 2023, Farmer Mac had additional net exposure of $207.2 million due to instances where Farmer Mac's collateral to a counterparty exceeded the net derivative position.

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 December 31, 2024 and 2023:

Table 6.4

	December 31, 2024
	Gross Amount Recognized		Gross Amounts offset in the Consolidated Balance Sheet		Net Amount Presented in the Consolidated Balance Sheet		Gross Amounts Not Offset in the Consolidated Balance Sheet
							Netting Adjustments		Financial instruments pledged		Cash Collateral		Net Amount(1)
	(in thousands)
Assets:
Uncleared derivatives	$	22,759	$	—	$	22,759	$	(22,061)	$	—	$	(652)	$	46
Cleared derivatives	5,492		(462)		5,030		—		(5,030)		—		—
Total	$	28,251	$	(462)	$	27,789	$	(22,061)	$	(5,030)	$	(652)	$	46
Liabilities:
Uncleared derivatives	$	(77,326)	$	—	$	(77,326)	$	22,061	$	—	$	44,299	$	(10,966)
Cleared derivatives	(462)		462		—		—		—		—		—
Total	$	(77,788)	$	462	$	(77,326)	$	22,061	$	—	$	44,299	$	(10,966)

(1)Any over-collateralization at an individual clearing agent and/or counterparty level is not included in the determination of the net amount. As of December 31, 2024, Farmer Mac had additional net exposure of $209.0 million due to instances where Farmer Mac's collateral to a counterparty exceeded the net derivative position and $4.7 million due to instances where Farmer Mac's collateral from a counterparty exceeded the net derivative position.

	December 31, 2023
	Gross Amount Recognized		Gross Amounts offset in the Consolidated Balance Sheet		Net Amount Presented in the Consolidated Balance Sheet(1)		Gross Amounts Not Offset in the Consolidated Balance Sheet
							Netting Adjustments		Financial instruments pledged		Cash Collateral(2)		Net Amount(3)
	(in thousands)
Assets:
Uncleared derivatives	$	25,751	$	—	$	25,751	$	(25,727)	$	—	$	—	$	24
Cleared derivatives	10,388		(1,236)		9,152		—		—		—		9,152
Total	$	36,139	$	(1,236)	$	34,903	$	(25,727)	$	—	$	—	$	9,176
Liabilities:
Uncleared derivatives	$	(100,114)	$	—	$	(100,114)	$	25,727	$	—	$	69,360	$	(5,027)
Cleared derivatives	(1,236)		1,236		—		—		—		—		—
Total	$	(101,350)	$	1,236	$	(100,114)	$	25,727	$	—	$	69,360	$	(5,027)

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

(2)Cash collateral excludes $15.2 million of collateral posted and $2.0 million of collateral received related to counterparties not subject to master netting agreements.

(3)Any over-collateralization at an individual clearing agent and/or counterparty level is not included in the determination of the net amount. As of December 31, 2023, Farmer Mac had additional net exposure of $207.2 million due to instances where Farmer Mac's collateral to a counterparty exceeded the net derivative position.