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FINANCIAL DERIVATIVES (Tables) | 3 Months Ended
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Mar. 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 $17.6 million and $16.4 million of accrued interest receivable and $6.2 million and $6.5 million of accrued interest payable on uncleared swaps as of March 31, 2024 and December 31, 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 4.1
| As of March 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 | $ | 9,705,185 |  |  | $ | 230 |  |  | $ | (25,315) |  |  | 5.54% |  | 3.03% |  |  |  | 1.70
Pay fixed non-callable | 9,226,082 |  |  | 7,675 |  |  | (68) |  |  | 2.52% |  | 5.43% |  |  |  | 9.37
Receive fixed callable | 3,963,827 |  |  | 2,892 |  |  | (105,971) |  |  | 5.36% |  | 3.46% |  |  |  | 2.56
Cash flow hedges: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | 552,000 |  |  | 22,270 |  |  | — |  |  | 1.93% |  | 5.80% |  |  |  | 4.09
No hedge designation: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |  |  |  |  |  |
Pay fixed non-callable | 157,933 |  |  | 992 |  |  | — |  |  | 2.92% |  | 5.60% |  |  |  | 4.15
Receive fixed non-callable | 1,638,958 |  |  | 34 |  |  | (9) |  |  | 5.38% |  | 5.11% |  |  |  | 0.47
Basis swaps | 850,384 |  |  | 15 |  |  | (522) |  |  | 5.49% |  | 5.47% |  |  |  | 3.58
Treasury futures | 125 |  |  | 680 |  |  | — |  |  |  |  |  |  | 110.25 |  |
Netting adjustments(1) |  |  | (3,355) |  |  | 3,355 |  |  |  |  |  |  |  |  |
Total financial derivatives | $ | 26,094,494 |  |  | $ | 31,433 |  |  | $ | (128,530) |  |  |  |  |  |  |  |  |
(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 three months ended March 31, 2024 and 2023: Table 4.2
| 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 hedging 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 |
| For the Three Months Ended March 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: | $ | 59,703 |  |  | $ | 136,537 |  |  | $ | 119,032 |  |  | $ | (236,214) |  |  | $ | 399 |  |  | $ | 79,457 |
Income/(expense) related to interest settlements on fair value hedging relationships: |  |  |  |  |  |  |  |  |  |  |
Recognized on derivatives | 6,549 |  |  | 28,909 |  |  | 13,180 |  |  | (77,467) |  |  | — |  |  | (28,829) |
Recognized on hedged items | 6,961 |  |  | 41,971 |  |  | 15,208 |  |  | (70,975) |  |  | — |  |  | (6,835) |
Premium/discount amortization recognized on hedged items | 268 |  |  | — |  |  | — |  |  | (691) |  |  | — |  |  | (423) |
Income/(expense) related to interest settlements on fair value hedging relationships | $ | 13,778 |  |  | $ | 70,880 |  |  | $ | 28,388 |  |  | $ | (149,133) |  |  | $ | — |  |  | $ | (36,087) |
Gains/(losses) on fair value hedging relationships: |  |  |  |  |  |  |  |  |  |  |
Recognized on derivatives | $ | (27,153) |  |  | $ | (93,792) |  |  | $ | (56,681) |  |  | $ | 122,540 |  |  | $ | — |  |  | $ | (55,086) |
Recognized on hedged items | 27,428 |  |  | 93,295 |  |  | 56,957 |  |  | (122,699) |  |  | — |  |  | 54,981 |
Gains/(losses) on fair value hedging relationships | $ | 275 |  |  | $ | (497) |  |  | $ | 276 |  |  | $ | (159) |  |  | $ | — |  |  | $ | (105) |
Expense related to interest settlements on cash flow hedging relationships: |  |  |  |  |  |  |  |  |  |  |
Interest settlements reclassified from AOCI into net income on derivatives | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,391 |  |  | $ | — |  |  | $ | 4,391 |
Recognized on hedged items | — |  |  | — |  |  | — |  |  | (7,190) |  |  | — |  |  | (7,190) |
Discount amortization recognized on hedged items | — |  |  | — |  |  | — |  |  | (14) |  |  | — |  |  | (14) |
Expense recognized on cash flow hedges | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (2,813) |  |  | $ | — |  |  | $ | (2,813) |
Gains on financial derivatives not designated in hedge relationships: |  |  |  |  |  |  |  |  |  |  |
Gains on interest rate swaps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 33 |  |  | $ | 33 |
Interest expense on interest rate swaps | — |  |  | — |  |  | — |  |  | — |  |  | (1,625) |  |  | (1,625) |
Treasury futures | — |  |  | — |  |  | — |  |  | — |  |  | 1,991 |  |  | 1,991 |
Gains on financial derivatives not designated in hedge relationships | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 399 |  |  | $ | 399 |
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, 2024 and December 31, 2023: 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, 2024 |  | December 31, 2023 |  | March 31, 2024 |  | December 31, 2023
| (in thousands)
Investment securities, Available-for-Sale, at fair value | $ | 1,261,144 |  |  | $ | 1,251,386 |  |  | $ | (116,156) |  |  | $ | (88,635) |
Farmer Mac Guaranteed Securities, Available-for-Sale, at fair value | 5,432,676 |  |  | 5,497,948 |  |  | (338,180) |  |  | (257,436) |
Loans held for investment, at amortized cost | 1,692,131 |  |  | 1,699,361 |  |  | (352,653) |  |  | (305,592) |
Notes Payable(1) | (13,327,828) |  |  | (13,350,111) |  |  | 305,907 |  |  | 250,418 |
(1)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, 2024 and December 31, 2023: Table 4.4
| March 31, 2024
| 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 | $ | 25,354 |  |  | $ | — |  |  | $ | 25,354 |  |  | $ | (24,674) |  |  | $ | — |  |  | $ | — |  |  | $ | 680 |
Cleared derivatives | 8,240 |  |  | (3,355) |  |  | 4,885 |  |  | — |  |  | — |  |  | — |  |  | 4,885 |
Total | $ | 33,594 |  |  | $ | (3,355) |  |  | $ | 30,239 |  |  | $ | (24,674) |  |  | $ | — |  |  | $ | — |  |  | $ | 5,565 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |
Uncleared derivatives | $ | (106,733) |  |  | $ | — |  |  | $ | (106,733) |  |  | $ | 24,674 |  |  | $ | — |  |  | $ | 76,472 |  |  | $ | (5,587) |
Cleared derivatives | (3,355) |  |  | 3,355 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total | $ | (110,088) |  |  | $ | 3,355 |  |  | $ | (106,733) |  |  | $ | 24,674 |  |  | $ | — |  |  | $ | 76,472 |  |  | $ | (5,587) |
(1)Amounts presented may not agree to the consolidated balance sheet related to counterparties not subject to master netting agreements. (2)Cash collateral excludes $15.6 million of collateral posted and $0.0 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 March 31, 2024, Farmer Mac had additional net exposure of $197.9 million due to instances where Farmer Mac's collateral to 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 March 31, 2024 and December 31, 2023: Table 4.4
| March 31, 2024
| 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 | $ | 25,354 |  |  | $ | — |  |  | $ | 25,354 |  |  | $ | (24,674) |  |  | $ | — |  |  | $ | — |  |  | $ | 680 |
Cleared derivatives | 8,240 |  |  | (3,355) |  |  | 4,885 |  |  | — |  |  | — |  |  | — |  |  | 4,885 |
Total | $ | 33,594 |  |  | $ | (3,355) |  |  | $ | 30,239 |  |  | $ | (24,674) |  |  | $ | — |  |  | $ | — |  |  | $ | 5,565 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |
Uncleared derivatives | $ | (106,733) |  |  | $ | — |  |  | $ | (106,733) |  |  | $ | 24,674 |  |  | $ | — |  |  | $ | 76,472 |  |  | $ | (5,587) |
Cleared derivatives | (3,355) |  |  | 3,355 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Total | $ | (110,088) |  |  | $ | 3,355 |  |  | $ | (106,733) |  |  | $ | 24,674 |  |  | $ | — |  |  | $ | 76,472 |  |  | $ | (5,587) |
(1)Amounts presented may not agree to the consolidated balance sheet related to counterparties not subject to master netting agreements. (2)Cash collateral excludes $15.6 million of collateral posted and $0.0 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 March 31, 2024, Farmer Mac had additional net exposure of $197.9 million due to instances where Farmer Mac's collateral to 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.

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- Definition Tabular disclosure of derivative and other financial assets that are subject to offsetting, including master netting arrangements. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 210 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 4 -Publisher FASB -URI https://asc.fasb.org//1943274/2147483466/210-20-50-4 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 210 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Publisher FASB -URI https://asc.fasb.org//1943274/2147483466/210-20-50-3 + Details
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