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Financial Derivatives (Tables) | 9 Months Ended
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Sep. 30, 2021
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 September 30, 2021 and December 31, 2020:Table 4.1
| As of September 30, 2021
|  |  | 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: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | $ | 5,322,606 |  |  | $ | 7,407 |  |  | $ | (770) |  |  | 2.20% |  | 0.12% |  |  |  | 12.13
Receive fixed non-callable | 4,748,529 |  |  | 22 |  |  | (9,657) |  |  | 0.17% |  | 0.90% |  |  |  | 2.17
Receive fixed callable | 1,459,577 |  |  | 1,246 |  |  | (5,108) |  |  | 0.02% |  | 0.73% |  |  |  | 4.06
Cash flow hedges: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | 535,000 |  |  | 6,121 |  |  | (4,149) |  |  | 1.96% |  | 0.49% |  |  |  | 5.69
No hedge designation: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | 238,809 |  |  | — |  |  | (5,826) |  |  | 3.31% |  | 0.14% |  |  |  | 4.99
Receive fixed non-callable | 1,373,250 |  |  | — |  |  | — |  |  | 0.10% |  | 0.50% |  |  |  | 0.94
Basis swaps | 2,088,911 |  |  | 902 |  |  | (135) |  |  | 0.14% |  | 0.18% |  |  |  | 2.77
Treasury futures | 154,500 |  |  | — |  | — |  |  |  |  |  |  | 131.61 |  |  |
Credit valuation adjustment |  |  | (30) |  |  | 12 |  |  |  |  |  |  |  |  |
Total financial derivatives | $ | 15,921,182 |  |  | $ | 15,668 |  |  | $ | (25,633) |  |  |  |  |  |  |  |  |
Collateral (held)/pledged |  |  | (2,198) |  |  | 175,189 |  |  |  |  |  |  |  |  |
Net amount |  |  | $ | 13,470 |  |  | $ | 149,556 |  |  |  |  |  |  |  |  |
| As of December 31, 2020
|  |  | 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: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | $ | 5,463,303 |  |  | $ | 10,157 |  |  | $ | (2,585) |  |  | 2.26% |  | 0.21% |  |  |  | 11.95
Receive fixed non-callable | 2,611,029 |  |  | 2 |  |  | (8,755) |  |  | 0.32% |  | 1.61% |  |  |  | 2.10
Receive fixed callable | 343,500 |  |  | 3,108 |  |  | (4) |  |  | 0.16% |  | 1.78% |  |  |  | 3.16
Cash flow hedges: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | 472,000 |  |  | 2,584 |  |  | (8,771) |  |  | 2.04% |  | 0.57% |  |  |  | 6.04
No hedge designation: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | 339,090 |  |  | — |  |  | (9,675) |  |  | 2.38% |  | 0.19% |  |  |  | 4.23
Receive fixed non-callable | 2,359,220 |  |  | — |  |  | — |  |  | 0.16% |  | 0.87% |  |  |  | 1.07
Receive fixed callable | 200,000 |  |  | 1 |  |  | (12) |  |  | 0.13% |  | 0.15% |  |  |  | 0.72
Basis swaps | 3,628,911 |  |  | 1,617 |  |  | (43) |  |  | 0.18% |  | 0.23% |  |  |  | 2.03
Treasury futures | 30,500 |  |  | — |  |  | (82) |  |  |  |  |  |  | 137.81 |  |  |
Credit valuation adjustment |  |  | (1) |  |  | 35 |  |  |  |  |  |  |  |  |
Total financial derivatives | $ | 15,447,553 |  |  | $ | 17,468 |  |  | $ | (29,892) |  |  |  |  |  |  |  |  |
Collateral (held)/pledged |  |  | (1,345) |  |  | 212,263 |  |  |  |  |  |  |  |  |
Net amount |  |  | $ | 16,123 |  |  | $ | 182,371 |  |  |  |  |  |  |  |  |
Schedule of Net Income/(Expense) Recognized | The following table summarizes the net income/(expense) recognized in the consolidated statements of operations related to derivatives for the three and nine months ended September 30, 2021 and 2020: Table 4.2
| For the Three Months Ended September 30, 2021
| 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 | $ | 4,121 |  |  | $ | 38,428 |  |  | $ | 61,923 |  |  | $ | (49,467) |  |  | $ | (2,347) |  |  | $ | 52,658 |
Income/(expense) related to interest settlements on fair value hedging relationships: |  |  |  |  |  |  |  |  |  |  |
Recognized on derivatives | (141) |  |  | (20,925) |  |  | (6,911) |  |  | 10,886 |  |  | — |  |  | (17,091) |
Recognized on hedged items | 274 |  |  | 28,937 |  |  | 11,817 |  |  | (12,940) |  |  | — |  |  | 28,088 |
Discount amortization recognized on hedged items | — |  |  | — |  |  | — |  |  | (287) |  |  | — |  |  | (287) |
Income/(expense) related to interest settlements on fair value hedging relationships | $ | 133 |  |  | $ | 8,012 |  |  | $ | 4,906 |  |  | $ | (2,341) |  |  | $ | — |  |  | $ | 10,710 |
Gains/(losses) on fair value hedging relationships: |  |  |  |  |  |  |  |  |  |  |
Recognized on derivatives | $ | 1,827 |  |  | $ | 30,060 |  |  | $ | 19,652 |  |  | $ | (9,727) |  |  | $ | — |  |  | $ | 41,812 |
Recognized on hedged items | (1,737) |  |  | (31,523) |  |  | (19,184) |  |  | 8,712 |  |  | — |  |  | (43,732) |
Gains/(losses) on fair value hedging relationships | $ | 90 |  |  | $ | (1,463) |  |  | $ | 468 |  |  | $ | (1,015) |  |  | $ | — |  |  | $ | (1,920) |
Expense related to interest settlements on cash flow hedging relationships: |  |  |  |  |  |  |  |  |  |  |
Interest settlements reclassified from AOCI into net income on derivatives | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (1,932) |  |  | $ | — |  |  | $ | (1,932) |
Recognized on hedged items | — |  |  | — |  |  | — |  |  | (685) |  |  | — |  |  | (685) |
Discount amortization recognized on hedged items | — |  |  | — |  |  | — |  |  | (11) |  |  | — |  |  | (11) |
Expense recognized on cash flow hedges | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (2,628) |  |  | $ | — |  |  | $ | (2,628) |
Losses on financial derivatives not designated in hedging relationships: |  |  |  |  |  |  |  |  |  |  |
Losses on interest rate swaps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (2,093) |  |  | $ | (2,093) |
Interest expense on interest rate swaps | — |  |  | — |  |  | — |  |  | — |  |  | 168 |  |  | 168 |
Treasury futures | — |  |  | — |  |  | — |  |  | — |  |  | (422) |  |  | (422) |
Losses on financial derivatives not designated in hedge relationships | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (2,347) |  |  | $ | (2,347) |
| For The Three Months Ended September 30, 2020
| Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives
| Net Interest Income |  | Non-Interest Income |  | Total
| 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: | $ | 45,335 |  |  | $ | 56,204 |  |  | $ | (63,974) |  |  | $ | (564) |  |  | $ | 37,001 |
Income/(expense) related to interest settlements on fair value hedging relationships: |  |  |  |  |  |  |  |  |
Recognized on derivatives | (20,373) |  |  | (6,194) |  |  | 9,605 |  |  | — |  |  | (16,962) |
Recognized on hedged items | 31,439 |  |  | 10,965 |  |  | (12,328) |  |  | — |  |  | 30,076 |
Discount amortization recognized on hedged items | — |  |  | — |  |  | (191) |  |  | — |  |  | (191) |
Income/(expense) related to interest settlements on fair value hedging relationships | $ | 11,066 |  |  | $ | 4,771 |  |  | $ | (2,914) |  |  | $ | — |  |  | $ | 12,923 |
(Losses)/gains on fair value hedging relationships: |  |  |  |  |  |  |  |  |
Recognized on derivatives | $ | 38,363 |  |  | $ | 28,198 |  |  | $ | (9,665) |  |  | $ | — |  |  | $ | 56,896 |
Recognized on hedged items | (41,855) |  |  | (29,372) |  |  | 9,284 |  |  | — |  |  | (61,943) |
(Losses)/gains on fair value hedging relationships | $ | (3,492) |  |  | $ | (1,174) |  |  | $ | (381) |  |  | $ | — |  |  | $ | (5,047) |
Expense related to interest settlements on cash flow hedging relationships: |  |  |  |  |  |  |  |  |
Interest settlements reclassified from AOCI into net income on derivatives | $ | — |  |  | $ | — |  |  | $ | (1,814) |  |  | $ | — |  |  | $ | (1,814) |
Recognized on hedged items | — |  |  | — |  |  | (711) |  |  | — |  |  | (711) |
Discount amortization recognized on hedged items | — |  |  | — |  |  | (4) |  |  | — |  |  | (4) |
Expense recognized on cash flow hedges | $ | — |  |  | $ | — |  |  | $ | (2,529) |  |  | $ | — |  |  | $ | (2,529) |
Losses on financial derivatives not designated in hedge relationships: |  |  |  |  |  |  |  |  |
Losses on interest rate swaps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (4,292) |  |  | $ | (4,292) |
Interest expense on interest rate swaps | — |  |  | — |  |  | — |  |  | 3,800 |  |  | 3,800 |
Treasury futures | — |  |  | — |  |  | — |  |  | (72) |  |  | (72) |
Losses on financial derivatives not designated in hedge relationships | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (564) |  |  | $ | (564) |
| For the Nine Months Ended September 30, 2021
| 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 | $ | 14,107 |  |  | $ | 123,246 |  |  | $ | 181,631 |  |  | $ | (155,599) |  |  | $ | (1,120) |  |  | $ | 162,265 |
Income/(expense) related to interest settlements on fair value hedging relationships: |  |  |  |  |  |  |  |  |  |  |
Recognized on derivatives | (177) |  |  | (63,966) |  |  | (20,185) |  |  | 30,178 |  |  | — |  |  | (54,150) |
Recognized on hedged items | 341 |  |  | 90,278 |  |  | 34,940 |  |  | (36,889) |  |  | — |  |  | 88,670 |
Discount amortization recognized on hedged items | — |  |  | — |  |  | — |  |  | (765) |  |  | — |  |  | (765) |
Income/(expense) related to interest settlements on fair value hedging relationships | $ | 164 |  |  | $ | 26,312 |  |  | $ | 14,755 |  |  | $ | (7,476) |  |  | $ | — |  |  | $ | 33,755 |
Gains/(losses) on fair value hedging relationships: |  |  |  |  |  |  |  |  |  |  |
Recognized on derivatives | $ | 1,651 |  |  | $ | 149,457 |  |  | $ | 100,276 |  |  | $ | (41,838) |  |  | $ | — |  |  | $ | 209,546 |
Recognized on hedged items | (1,549) |  |  | (150,445) |  |  | (99,955) |  |  | 39,104 |  |  | — |  |  | (212,845) |
Gains/(losses) on fair value hedging relationships | $ | 102 |  |  | $ | (988) |  |  | $ | 321 |  |  | $ | (2,734) |  |  | $ | — |  |  | $ | (3,299) |
Expense related to interest settlements on cash flow hedging relationships: |  |  |  |  |  |  |  |  |  |  |
Interest settlements reclassified from AOCI into net income on derivatives | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (5,454) |  |  | $ | — |  |  | $ | (5,454) |
Recognized on hedged items | — |  |  | — |  |  | — |  |  | (1,983) |  |  | — |  |  | (1,983) |
Discount amortization recognized on hedged items | — |  |  | — |  |  | — |  |  | (25) |  |  | — |  |  | (25) |
Expense recognized on cash flow hedges | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (7,462) |  |  | $ | — |  |  | $ | (7,462) |
Losses on financial derivatives not designated in hedging relationships: |  |  |  |  |  |  |  |  |  |  |
Losses on interest rate swaps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (4,363) |  |  | $ | (4,363) |
Interest expense on interest rate swaps | — |  |  | — |  |  | — |  |  | — |  |  | 3,489 |  |  | 3,489 |
Treasury futures | — |  |  | — |  |  | — |  |  | — |  |  | (246) |  |  | (246) |
Losses on financial derivatives not designated in hedge relationships | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (1,120) |  |  | $ | (1,120) |
| For The Nine Months Ended September 30, 2020
| Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives
| Net Interest Income |  | Non-Interest Income |  | Total
| 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: | $ | 178,644 |  |  | $ | 172,230 |  |  | $ | (251,789) |  |  | $ | (3,339) |  |  | $ | 95,746 |
Income/(expense) related to interest settlements on fair value hedging relationships: |  |  |  |  |  |  |  |  |
Recognized on derivatives | (38,781) |  |  | (12,607) |  |  | 16,671 |  |  | — |  |  | (34,717) |
Recognized on hedged items | 95,366 |  |  | 29,454 |  |  | (39,325) |  |  | — |  |  | 85,495 |
Discount amortization recognized on hedged items | — |  |  | — |  |  | (552) |  |  | — |  |  | (552) |
Income/(expense) related to interest settlements on fair value hedging relationships | $ | 56,585 |  |  | $ | 16,847 |  |  | $ | (23,206) |  |  | $ | — |  |  | $ | 50,226 |
(Losses)/gains on fair value hedging relationships: |  |  |  |  |  |  |  |  |
Recognized on derivatives | $ | (264,797) |  |  | $ | (124,322) |  |  | $ | 52,991 |  |  | $ | — |  |  | $ | (336,128) |
Recognized on hedged items | 257,575 |  |  | 119,072 |  |  | (53,628) |  |  | — |  |  | 323,019 |
(Losses)/gains on fair value hedging relationships | $ | (7,222) |  |  | $ | (5,250) |  |  | $ | (637) |  |  | $ | — |  |  | $ | (13,109) |
Expense related to interest settlements on cash flow hedging relationships: |  |  |  |  |  |  |  |  |
Interest settlements reclassified from AOCI into net income on derivatives | $ | — |  |  | $ | — |  |  | $ | (3,817) |  |  | $ | — |  |  | $ | (3,817) |
Recognized on hedged items | — |  |  | — |  |  | (3,863) |  |  | — |  |  | (3,863) |
Discount amortization recognized on hedged items | — |  |  | — |  |  | (6) |  |  | — |  |  | (6) |
Expense recognized on cash flow hedges | $ | — |  |  | $ | — |  |  | $ | (7,686) |  |  | $ | — |  |  | $ | (7,686) |
(Losses)/gains on financial derivatives not designated in hedge relationships: |  |  |  |  |  |  |  |  |
Losses on interest rate swaps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (2,415) |  |  | $ | (2,415) |
Interest expense on interest rate swaps | — |  |  | — |  |  | — |  |  | 1,143 |  |  | 1,143 |
Treasury futures | — |  |  | — |  |  | — |  |  | (2,067) |  |  | (2,067) |
(Losses)/gains on financial derivatives not designated in hedge relationships | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (3,339) |  |  | $ | (3,339) |
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, 2021 and December 31, 2020: 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, 2021 |  | December 31, 2020 |  | September 30, 2021 |  | December 31, 2020
| (in thousands)
Investment securities, Available-for-Sale, at fair value | $ | 167,970 |  |  | $ | — |  |  | $ | (1,549) |  |  | $ | — |
Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value(1) | 3,798,859 |  |  | 4,244,027 |  |  | 232,379 |  |  | 382,825 |
Loans held for investment, at amortized cost(2) | 1,604,954 |  |  | 1,692,609 |  |  | 11,378 |  |  | 111,333 |
Notes Payable(3) | (5,730,114) |  |  | (3,006,140) |  |  | (14,136) |  |  | (53,240) |
(1)Includes $1.4 million and $1.6 million of hedging adjustments on discontinued hedging relationships as of September 30, 2021 and December 31, 2020, respectively. (2)Includes $1.2 million and $1.4 million of hedging adjustments on a discontinued hedging relationship as of September 30, 2021 and December 31, 2020, 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 September 30, 2021 and December 31, 2020: Table 4.4
| September 30, 2021
| Gross Amount Recognized(1) |  | Counterparty Netting |  | Net Amount Presented in the Consolidated Balance Sheet
| (in thousands)
Assets: |  |  |  |  |
Derivatives |  |  |  |  |
Interest rate swap | $ | 116,064 |  |  | $ | 113,901 |  |  | $ | 2,163 |
Liabilities: |  |  |  |  |
Derivatives |  |  |  |  |
Interest rate swap | $ | 397,989 |  |  | $ | 388,194 |  |  | $ | 9,795 |
(1)Gross amount excludes netting arrangements and any adjustment for nonperformance risk, but includes accrued interest.
| December 31, 2020
| Gross Amount Recognized(1) |  | Counterparty Netting |  | Net Amount Presented in the Consolidated Balance Sheet
| (in thousands)
Assets: |  |  |  |  |
Derivatives |  |  |  |  |
Interest rate swaps | $ | 112,287 |  |  | $ | 111,761 |  |  | $ | 526 |
Liabilities: |  |  |  |  |
Derivatives |  |  |  |  |
Interest rate swaps | $ | 620,236 |  |  | $ | 595,867 |  |  | $ | 24,369 |
(1)Gross amount excludes netting arrangements and any adjustment for nonperformance risk, but includes accrued interest.

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