XML 32 R21.htm IDEA: XBRL DOCUMENT
v3.7.0.1

Financial Derivatives - Financial Derivatives (Tables) | 6 Months Ended
--- | ---
Jun. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Derivative Instruments [Table Text Block] | 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, 2017 and and December 31, 2016 and the effects of financial derivatives on the consolidated statements of operations for the three and six months ended June 30, 2017 and 2016: Table 4.1
| As of June 30, 2017
|  |  | Fair Value |  | Weighted- Average Pay Rate |  | Weighted- Average Receive Rate |  | Weighted- Average Forward Price |  | Weighted- Average Remaining Life (in years)
| Notional Amount |  | Asset |  | (Liability) |  |  |  |
| (dollars in thousands)
Fair value hedges: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | $ | 2,003,581 |  |  | $ | 4,549 |  |  | $ | (9,832 | ) |  | 1.74% |  | 1.13% |  |  |  | 5.34
Receive fixed non-callable | 1,431,700 |  |  | 97 |  |  | (3,182 | ) |  | 1.11% |  | 1.42% |  |  |  | 1.99
Cash flow hedges: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | 277,000 |  |  | 496 |  |  | (467 | ) |  | 2.11% |  | 1.41% |  |  |  | 6.57
No hedge designation: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | 353,534 |  |  | 174 |  |  | (20,753 | ) |  | 3.89% |  | 1.18% |  |  |  | 6.71
Receive fixed non-callable | 3,194,132 |  |  | — |  |  | — |  |  | 1.02% |  | 0.99% |  |  |  | 0.70
Basis swaps | 970,000 |  |  | 117 |  |  | (10 | ) |  | 0.95% |  | 1.14% |  |  |  | 0.97
Treasury futures | 14,600 |  |  | 120 |  |  | — |  |  |  |  |  |  | 126.36 |  |  |
Credit valuation adjustment |  |  | (7 | ) |  | 130 |  |  |  |  |  |  |  |  |
Total financial derivatives | $ | 8,244,547 |  |  | $ | 5,546 |  |  | $ | (34,114 | ) |  |  |  |  |  |  |  |
Collateral pledged |  |  | — |  |  | 25,066 |  |  |  |  |  |  |  |  |
Net amount |  |  | $ | 5,546 |  |  | $ | (9,048 | ) |  |  |  |  |  |  |  |
| As of December 31, 2016
|  |  | Fair Value |  | Weighted- Average Pay Rate |  | Weighted- Average Receive Rate |  | Weighted- Average Forward Price |  | Weighted- Average Remaining Life (in years)
| Notional Amount |  | Asset |  | (Liability) |  |  |  |
| (dollars in thousands)
Fair value hedges: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | $ | 1,642,609 |  |  | $ | 18,508 |  |  | $ | (18,909 | ) |  | 1.73% |  | 0.90% |  |  |  | 4.70
Cash flow hedges: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | 207,000 |  |  | 3,706 |  |  | (955 | ) |  | 2.18% |  | 1.11% |  |  |  | 7.28
No hedge designation: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | 435,827 |  |  | 339 |  |  | (32,951 | ) |  | 4.06% |  | 0.89% |  |  |  | 5.90
Receive fixed non-callable | 4,991,821 |  |  | 607 |  |  | (5,064 | ) |  | 0.74% |  | 0.75% |  |  |  | 0.60
Receive fixed callable | 30,000 |  |  | — |  |  | (33 | ) |  | 0.82% |  | 0.58% |  |  |  | 0.33
Basis swaps | 765,000 |  |  | 36 |  |  | (243 | ) |  | 0.78% |  | 0.78% |  |  |  | 0.87
Treasury futures | 28,000 |  |  | — |  |  | (155 | ) |  |  |  |  |  | 123.73 |  |  |
Credit valuation adjustment |  |  | (14 | ) |  | 158 |  |  |  |  |  |  |  |  |
Total financial derivatives | $ | 8,100,257 |  |  | $ | 23,182 |  |  | $ | (58,152 | ) |  |  |  |  |  |  |  |
Collateral pledged |  |  | — |  |  | 25,643 |  |  |  |  |  |  |  |  |
Net amount |  |  | $ | 23,182 |  |  | $ | (32,509 | ) |  |  |  |  |  |  |  |
Derivative Instruments, Gain (Loss) [Table Text Block] | Table 4.2
| (Losses)/gains on financial derivatives and hedging activities
| For the Three Months Ended |  | For the Six Months Ended
| June 30, 2017 |  | June 30, 2016 |  | June 30, 2017 |  | June 30, 2016
| (in thousands)
Fair value hedges: |  |  |  |  |  |  |
Interest rate swaps(1) | $ | (8,568 | ) |  | $ | (14,440 | ) |  | $ | (7,041 | ) |  | $ | (41,339 | )
Hedged items | 9,988 |  |  | 16,541 |  |  | 4,584 |  |  | 46,329 |
Gains/(losses) on fair value hedges | 1,420 |  |  | 2,101 |  |  | (2,457 | ) |  | 4,990 |
Cash flow hedges: |  |  |  |  |  |  |
Loss recognized (ineffective portion) | (146 | ) |  | (105 | ) |  | (175 | ) |  | (254 | )
Losses on cash flow hedges | (146 | ) |  | (105 | ) |  | (175 | ) |  | (254 | )
No hedge designation: |  |  |  |  |  |  |
Interest rate swaps | (1,648 | ) |  | (6,345 | ) |  | 5,036 |  |  | (14,487 | )
Agency forwards | (189 | ) |  | 10 |  |  | (588 | ) |  | (868 | )
Treasury futures | (54 | ) |  | (357 | ) |  | 53 |  |  | (859 | )
(Losses)/gains on financial derivatives not designated in hedging relationships | (1,891 | ) |  | (6,692 | ) |  | 4,501 |  |  | (16,214 | )
(Losses)/gains on financial derivatives and hedging activities | $ | (617 | ) |  | $ | (4,696 | ) |  | $ | 1,869 |  |  | $ | (11,478 | )
(1) | Included in the assessment of hedge effectiveness as of June 30, 2017, but excluded from the amounts in the table, were losses of $1.3 million and gains of $2.3 million, respectively, for the three and six months ended June 30, 2017, attributable to the fair value of the swaps at the inception of the hedging relationship. Accordingly, the amounts recognized as hedge ineffectiveness for three and six months ended June 30, 2017 were gains of $0.1 million and losses of 0.1 million, respectively. The comparable amounts as of June 30, 2016 were losses of $1.8 million and $3.3 million for the three and six months ended June 30, 2016, attributable to the fair value of the swaps at the inception of the hedging relationship and, accordingly, gains of $0.3 million and $1.7 million for the three and six months ended June 30, 2016, attributable to hedge ineffectiveness.

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624171-113959 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5618551-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsGainLossInStatementOfFinancialPerformanceTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- 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 Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41641-113959 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624163-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41678-113959 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41638-113959 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5580258-113959 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5579245-113959 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624171-113959 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5579240-113959 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41620-113959 Reference 10: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(n)(2)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration