FINANCIAL DERIVATIVES (Tables)

3 Months Ended

Mar. 31, 2025

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 $27.6 million and $15.8 million of accrued interest receivable and $3.0 million and $4.9 million of accrued interest payable on uncleared swaps as of March 31, 2025 and December 31, 2024, 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 March 31, 2025
			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	$	6,668,512	$	771	$	(8,174)	4.65%	3.40%		1.53
Pay fixed non-callable	9,777,601		108		(11,160)		2.75%	4.48%		9.01
Receive fixed callable	4,890,883		13,666		(44,321)		4.47%	3.79%		2.81
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable	518,000		13,602		(184)		1.90%	4.83%		3.32
No hedge designation:
Interest rate swaps:
Pay fixed non-callable	166,769		588		(48)		2.89%	4.67%		3.21
Receive fixed non-callable	1,340,287		7		(4)		4.44%	4.26%		0.27
Basis swaps	640,384		7		(378)		4.61%	4.50%		3.67
Treasury futures	6,700		1		(3)				111.20
Netting adjustments(1)	—		(883)		883
Total financial derivatives	$	24,009,136	$	27,867	$	(63,389)

(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, 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.

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, 2025 and 2024:

Table 4.2

	For the Three Months Ended March 31, 2025
	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	$	83,308	$	126,342	$	171,764	$	(290,475)	$	(2,636)	$	88,303
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	7,085		22,059		12,386		(28,494)		—		13,036
Recognized on hedged items	13,130		55,871		18,968		(103,878)		—		(15,909)
Premium/discount amortization recognized on hedged items	431		—		—		(660)		—		(229)
Income/(expense) related to interest settlements on fair value hedging relationships	$	20,646	$	77,930	$	31,354	$	(133,032)	$	—	$	(3,102)
(Losses)/gains on fair value hedging relationships:
Recognized on derivatives	$	(34,009)	$	(82,485)	$	(44,554)	$	75,600	$	—	$	(85,448)
Recognized on hedged items	33,978		82,017		44,981		(74,429)		—		86,547
(Losses)/gains on fair value hedging relationships	$	(31)	$	(468)	$	427	$	1,171	$	—	$	1,099
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—	$	—	$	—	$	3,825	$	—	$	3,825
Recognized on hedged items	—		—		—		(6,345)		—		(6,345)
Discount amortization recognized on hedged items	—		—		—		—		—		—
Expense recognized on cash flow hedges	$	—	$	—	$	—	$	(2,520)	$	—	$	(2,520)
Losses on financial derivatives not designated in hedging relationships:
Losses on interest rate swaps	$	—	$	—	$	—	$	—	$	(2,703)	$	(2,703)
Interest expense on interest rate swaps	—		—		—		—		318		318
Treasury futures	—		—		—		—		(251)		(251)
Losses on financial derivatives not designated in hedge relationships	$	—	$	—	$	—	$	—	$	(2,636)	$	(2,636)

	For the Three Months Ended March 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:	$	84,924	$	166,813	$	144,580	$	(309,949)	$	2,079	$	88,447
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives	10,297		40,332		17,849		(83,551)		—		(15,073)
Recognized on hedged items	9,948		51,705		16,598		(106,433)		—		(28,182)
Premium/discount amortization recognized on hedged items	445		—		—		(747)		—		(302)
Income/(expense) related to interest settlements on fair value hedging relationships	$	20,690	$	92,037	$	34,447	$	(190,731)	$	—	$	(43,557)
Gains/(losses) on fair value hedging relationships:
Recognized on derivatives	$	27,789	$	81,586	$	48,180	$	(54,717)	$	—	$	102,838
Recognized on hedged items	(27,521)		(80,743)		(47,061)		55,489		—		(99,836)
Gains/(losses) on fair value hedging relationships	$	268	$	843	$	1,119	$	772	$	—	$	3,002
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives	$	—	$	—	$	—	$	5,431	$	—	$	5,431
Recognized on hedged items	—		—		—		(8,091)		—		(8,091)
Discount amortization recognized on hedged items	—		—		—		(14)		—		(14)
Expense recognized on cash flow hedges	$	—	$	—	$	—	$	(2,674)	$	—	$	(2,674)
Gains on financial derivatives not designated in hedge relationships:
Gains on interest rate swaps	$	—	$	—	$	—	$	—	$	754	$	754
Interest expense on interest rate swaps	—		—		—		—		(34)		(34)
Treasury futures	—		—		—		—		1,359		1,359
Gains on financial derivatives not designated in hedge relationships	$	—	$	—	$	—	$	—	$	2,079	$	2,079

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, 2025 and December 31, 2024:

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, 2025		December 31, 2024		March 31, 2025		December 31, 2024
	(in thousands)
Investment securities, Available-for-Sale, at fair value(1)	$	1,633,772	$	1,477,880	$	(83,159)	$	(117,137)
Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value(2)	5,586,662		5,478,484		(225,341)		(307,358)
Loans held for investment, at amortized cost	1,880,996		1,816,738		(327,463)		(372,444)
Notes Payable(3)	(11,480,083)		(11,899,049)		74,570		148,999

(1)Amortized cost of $1.7 billion and $1.6 billion as of March 31, 2025 and December 31, 2024, respectively.

(2)Amortized cost of $5.8 billion as of both March 31, 2025 and December 31, 2024.

(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 March 31, 2025 and December 31, 2024:

Table 4.4

	March 31, 2025
	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	$	27,867	$	—	$	27,867	$	(23,657)	$	—	$	(4,167)	$	43
Cleared derivatives	883		(883)		—		—		—		—		—
Total	$	28,750	$	(883)	$	27,867	$	(23,657)	$	—	$	(4,167)	$	43
Liabilities:
Uncleared derivatives	$	(52,806)	$	—	$	(52,806)	$	23,657	$	—	$	17,971	$	(11,178)
Cleared derivatives	(11,466)		883		(10,583)		—		10,583		—		—
Total	$	(64,272)	$	883	$	(63,389)	$	23,657	$	10,583	$	17,971	$	(11,178)

(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 March 31, 2025, Farmer Mac had additional net exposure of $212.1 million due to instances where Farmer Mac's collateral to a counterparty exceeded the net derivative position and $8.1 million due to instances where Farmer Mac's collateral from a counterparty exceeded the net derivative position.

	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.

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 March 31, 2025 and December 31, 2024:

Table 4.4

	March 31, 2025
	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	$	27,867	$	—	$	27,867	$	(23,657)	$	—	$	(4,167)	$	43
Cleared derivatives	883		(883)		—		—		—		—		—
Total	$	28,750	$	(883)	$	27,867	$	(23,657)	$	—	$	(4,167)	$	43
Liabilities:
Uncleared derivatives	$	(52,806)	$	—	$	(52,806)	$	23,657	$	—	$	17,971	$	(11,178)
Cleared derivatives	(11,466)		883		(10,583)		—		10,583		—		—
Total	$	(64,272)	$	883	$	(63,389)	$	23,657	$	10,583	$	17,971	$	(11,178)

(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 March 31, 2025, Farmer Mac had additional net exposure of $212.1 million due to instances where Farmer Mac's collateral to a counterparty exceeded the net derivative position and $8.1 million due to instances where Farmer Mac's collateral from a counterparty exceeded the net derivative position.

	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.