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Financial Derivatives (Tables) | 3 Months Ended
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Mar. 31, 2022
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 March 31, 2022 and December 31, 2021: Table 4.1
| As of March 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: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | $ | 7,209,418 |  |  | $ | 8,657 |  |  | $ | (1,589) |  |  | 1.92% |  | 0.37% |  |  |  | 11.00
Receive fixed non-callable | 6,565,729 |  |  | 279 |  |  | (11,149) |  |  | 0.42% |  | 0.91% |  |  |  | 2.16
Receive fixed callable | 1,883,577 |  |  | — |  |  | (90,594) |  |  | 0.25% |  | 1.04% |  |  |  | 3.90
Cash flow hedges: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | 617,000 |  |  | 15,900 |  |  | (70) |  |  | 1.92% |  | 0.74% |  |  |  | 5.64
No hedge designation: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | 227,918 |  |  | 265 |  |  | (1,638) |  |  | 3.24% |  | 0.37% |  |  |  | 4.72
Receive fixed non-callable | 1,038,750 |  |  | — |  |  | — |  |  | 0.35% |  | 0.40% |  |  |  | 0.87
Basis swaps | 1,393,911 |  |  | 191 |  |  | (435) |  |  | 0.45% |  | 0.48% |  |  |  | 3.56
Treasury futures | 73,300 |  |  | 1,039 |  | (128) |  |  |  |  |  |  | 124.12 |  |  |
Credit valuation adjustment |  |  | (2) |  |  | 29 |  |  |  |  |  |  |  |  |
Total financial derivatives | $ | 19,009,603 |  |  | $ | 26,329 |  |  | $ | (105,574) |  |  |  |  |  |  |  |  |
Collateral (held)/pledged |  |  | — |  |  | 262,394 |  |  |  |  |  |  |  |  |
Net amount |  |  | $ | 26,329 |  |  | $ | 156,820 |  |  |  |  |  |  |  |  |
| As of December 31, 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 | $ | 6,238,438 |  |  | $ | 11,554 |  |  | $ | (583) |  |  | 2.06% |  | 0.13% |  |  |  | 11.64
Receive fixed non-callable | 5,884,529 |  |  | 15 |  |  | (8,383) |  |  | 0.17% |  | 0.88% |  |  |  | 2.27
Receive fixed callable | 1,571,577 |  |  | 103 |  |  | (17,612) |  |  | 0.01% |  | 0.80% |  |  |  | 4.17
Cash flow hedges: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | 570,000 |  |  | 6,905 |  |  | (2,763) |  |  | 1.93% |  | 0.49% |  |  |  | 5.72
No hedge designation: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | 229,062 |  |  | — |  |  | (4,641) |  |  | 3.22% |  | 0.16% |  |  |  | 4.95
Receive fixed non-callable | 1,377,250 |  |  | — |  |  | — |  |  | 0.13% |  | 0.43% |  |  |  | 0.97
Basis swaps | 1,608,911 |  |  | 489 |  |  | (280) |  |  | 0.17% |  | 0.20% |  |  |  | 3.31
Treasury futures | 67,600 |  |  | 73 |  |  | — |  |  |  |  |  |  | 130.58 |  |  |
Credit valuation adjustment |  |  | — |  |  | 14 |  |  |  |  |  |  |  |  |
Total financial derivatives | $ | 17,547,367 |  |  | $ | 19,139 |  |  | $ | (34,248) |  |  |  |  |  |  |  |  |
Collateral (held)/pledged |  |  | — |  |  | 194,519 |  |  |  |  |  |  |  |  |
Net amount |  |  | $ | 19,139 |  |  | $ | 160,271 |  |  |  |  |  |  |  |  |
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, 2022 and 2021: Table 4.2
| For the Three Months Ended March 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 | $ | 5,716 |  |  | $ | 39,257 |  |  | $ | 67,247 |  |  | $ | (50,345) |  |  | $ | 16,074 |  |  | $ | 77,949 |
Income/(expense) related to interest settlements on fair value hedging relationships: |  |  |  |  |  |  |  |  |  |  |
Recognized on derivatives | (1,484) |  |  | (21,644) |  |  | (6,946) |  |  | 14,200 |  |  | — |  |  | (15,874) |
Recognized on hedged items | 2,597 |  |  | 31,929 |  |  | 12,619 |  |  | (18,157) |  |  | — |  |  | 28,988 |
Premium/discount amortization recognized on hedged items | (414) |  |  | — |  |  | — |  |  | (440) |  |  | — |  |  | (854) |
Income/(expense) related to interest settlements on fair value hedging relationships | $ | 699 |  |  | $ | 10,285 |  |  | $ | 5,673 |  |  | $ | (4,397) |  |  | $ | — |  |  | $ | 12,260 |
Gains/(losses) on fair value hedging relationships: |  |  |  |  |  |  |  |  |  |  |
Recognized on derivatives | $ | 33,425 |  |  | $ | 210,188 |  |  | $ | 131,932 |  |  | $ | (237,014) |  |  | $ | — |  |  | $ | 138,531 |
Recognized on hedged items | (32,726) |  |  | (210,648) |  |  | (129,607) |  |  | 236,814 |  |  | — |  |  | (136,167) |
Gains/(losses) on fair value hedging relationships | $ | 699 |  |  | $ | (460) |  |  | $ | 2,325 |  |  | $ | (200) |  |  | $ | — |  |  | $ | 2,364 |
Expense related to interest settlements on cash flow hedging relationships: |  |  |  |  |  |  |  |  |  |  |
Interest settlements reclassified from AOCI into net income on derivatives | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (2,011) |  |  | $ | — |  |  | $ | (2,011) |
Recognized on hedged items | — |  |  | — |  |  | — |  |  | (787) |  |  | — |  |  | (787) |
Discount amortization recognized on hedged items | — |  |  | — |  |  | — |  |  | (13) |  |  | — |  |  | (13) |
Expense recognized on cash flow hedges | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (2,811) |  |  | $ | — |  |  | $ | (2,811) |
Gains on financial derivatives not designated in hedging relationships: |  |  |  |  |  |  |  |  |  |  |
Gains on interest rate swaps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 703 |  |  | $ | 703 |
Interest expense on interest rate swaps | — |  |  | — |  |  | — |  |  | — |  |  | (927) |  |  | (927) |
Treasury futures | — |  |  | — |  |  | — |  |  | — |  |  | 16,298 |  |  | 16,298 |
Gains on financial derivatives not designated in hedge relationships | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 16,074 |  |  | $ | 16,074 |
| For the Three Months Ended March 31, 2021
| 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 |  | Gains on financial derivatives |
| (in thousands)
Total amounts presented in the consolidated statement of operations: | $ | 42,404 |  |  | $ | 59,494 |  |  | $ | (54,176) |  |  | $ | 4,293 |  |  | $ | 52,015 |
Income/(expense) related to interest settlements on fair value hedging relationships: |  |  |  |  |  |  |  |  |
Recognized on derivatives | (21,437) |  |  | (6,572) |  |  | 9,481 |  |  | — |  |  | (18,528) |
Recognized on hedged items | 30,775 |  |  | 11,487 |  |  | (11,808) |  |  | — |  |  | 30,454 |
Discount amortization recognized on hedged items | — |  |  | — |  |  | (221) |  |  | — |  |  | (221) |
Income/(expense) related to interest settlements on fair value hedging relationships | $ | 9,338 |  |  | $ | 4,915 |  |  | $ | (2,548) |  |  | $ | — |  |  | $ | 11,705 |
(Losses)/gains on fair value hedging relationships: |  |  |  |  |  |  |  |  |
Recognized on derivatives | $ | 168,078 |  |  | $ | 145,771 |  |  | $ | (29,455) |  |  | $ | — |  |  | $ | 284,394 |
Recognized on hedged items | (168,801) |  |  | (144,749) |  |  | 29,501 |  |  | — |  |  | (284,049) |
(Losses)/gains on fair value hedging relationships | $ | (723) |  |  | $ | 1,022 |  |  | $ | 46 |  |  | $ | — |  |  | $ | 345 |
Expense related to interest settlements on cash flow hedging relationships: |  |  |  |  |  |  |  |  |
Interest settlements reclassified from AOCI into net income on derivatives | $ | — |  |  | $ | — |  |  | $ | (1,746) |  |  | $ | — |  |  | $ | (1,746) |
Recognized on hedged items | — |  |  | — |  |  | (655) |  |  | — |  |  | (655) |
Discount amortization recognized on hedged items | — |  |  | — |  |  | (7) |  |  | — |  |  | (7) |
Expense recognized on cash flow hedges | $ | — |  |  | $ | — |  |  | $ | (2,408) |  |  | $ | — |  |  | $ | (2,408) |
Gains on financial derivatives not designated in hedge relationships: |  |  |  |  |  |  |  |  |
Gains on interest rate swaps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,470 |  |  | $ | 1,470 |
Interest expense on interest rate swaps | — |  |  | — |  |  | — |  |  | 2,223 |  |  | 2,223 |
Treasury futures | — |  |  | — |  |  | — |  |  | 600 |  |  | 600 |
Gains on financial derivatives not designated in hedge relationships | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,293 |  |  | $ | 4,293 |
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, 2022 and December 31, 2021: 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, 2022 |  | December 31, 2021 |  | March 31, 2022 |  | December 31, 2021
| (in thousands)
Investment securities, Available-for-Sale, at fair value | $ | 520,485 |  |  | $ | 458,653 |  |  | $ | (33,944) |  |  | $ | (1,218) |
Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value(1) | 4,826,536 |  |  | 4,276,002 |  |  | (4,129) |  |  | 206,520 |
Loans held for investment, at amortized cost(2) | 1,672,092 |  |  | 1,668,142 |  |  | (115,775) |  |  | 13,832 |
Notes Payable(3) | (8,024,125) |  |  | (7,083,535) |  |  | 279,191 |  |  | 42,377 |
(1)Includes $1.2 million and $1.3 million of hedging adjustments on discontinued hedging relationships as of March 31, 2022 and December 31, 2021, respectively. (2)Includes $1.2 million of hedging adjustments on a discontinued hedging relationship as of both March 31, 2022 and December 31, 2021. (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 March 31, 2022 and December 31, 2021: Table 4.4
| March 31, 2022
| Gross Amount Recognized(1) |  | Counterparty Netting |  | Net Amount Presented in the Consolidated Balance Sheet
| (in thousands)
Assets: |  |  |  |  |
Derivatives |  |  |  |  |
Interest rate swap | $ | 258,067 |  |  | $ | 232,963 |  |  | $ | 25,104 |
Liabilities: |  |  |  |  |
Derivatives |  |  |  |  |
Interest rate swap | $ | 399,497 |  |  | $ | 381,928 |  |  | $ | 17,569 |
(1)Gross amount excludes netting arrangements and any adjustment for nonperformance risk, but includes accrued interest.
| December 31, 2021
| Gross Amount Recognized(1) |  | Counterparty Netting |  | Net Amount Presented in the Consolidated Balance Sheet
| (in thousands)
Assets: |  |  |  |  |
Derivatives |  |  |  |  |
Interest rate swaps | $ | 91,130 |  |  | $ | 91,130 |  |  | $ | — |
Liabilities: |  |  |  |  |
Derivatives |  |  |  |  |
Interest rate swaps | $ | 404,063 |  |  | $ | 386,249 |  |  | $ | 17,814 |
(1)Gross amount excludes netting arrangements and any adjustment for nonperformance risk, but includes accrued interest.

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- 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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5624163-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5580258-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=125515794&loc=d3e41620-113959 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5579245-113959 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=125515794&loc=d3e41638-113959 Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=125515794&loc=d3e41678-113959 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=125515794&loc=d3e41641-113959 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5579240-113959 + Details
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