v3.26.1
FINANCIAL DERIVATIVES
 3 Months Ended
Mar. 31, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
FINANCIAL DERIVATIVES FINANCIAL DERIVATIVES
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 $32.9 million and $24.2 million of accrued interest receivable and $1.8 million and $2.4 million of accrued interest payable on uncleared swaps as of March 31, 2026 and December 31, 2025, respectively. The aforementioned accrued interest on uncleared swaps is included within Accrued Interest Receivable and Accrued Interest Payable on the consolidated balance sheets.

Table 3.1
  As of March 31, 2026
  Fair ValueWeighted-
Average
Pay Rate		Weighted-
Average Receive Rate		Weighted-
Average
Forward
Price		Weighted-
Average
Remaining
Term (in years)
  Notional AmountAsset(Liability)
  (dollars in thousands)
Fair value hedges:
Interest rate swaps:
Receive fixed non-callable$6,235,735 $1,608 $(1,118)3.89%3.54%1.00
Pay fixed non-callable11,068,510 880 (6,843)2.84%3.73%8.43
Receive fixed callable6,602,663 6,018 (40,619)3.77%3.84%3.47
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable440,000 8,723 (197)1.90%4.12%2.84
No hedge designation:
Interest rate swaps:
Pay fixed non-callable153,384 448 (80)2.89%3.94%3.50
Receive fixed non-callable1,639,902 125 (1)3.72%3.83%0.35
Basis swaps382,811 — (164)3.94%3.86%4.78
Treasury futures60,600 304 (93)111.40
Netting adjustments(1)
— (2,625)2,625 
Total financial derivatives$26,583,605 $15,481 $(46,490)      
(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, 2025
  Fair ValueWeighted-
Average
Pay Rate		Weighted-
Average Receive Rate		Weighted-
Average
Forward
Price		Weighted-
Average
Remaining
Term (in years)
  Notional AmountAsset(Liability)
  (dollars in thousands)
Fair value hedges:
Interest rate swaps:
Receive fixed non-callable$6,388,935 $330 $(2,954)4.08%3.56%1.12
Pay fixed non-callable10,681,418 16,685 (168)2.79%3.93%8.66
Receive fixed callable5,446,883 19,322 (19,911)3.96%3.73%3.14
Cash flow hedges:
Interest rate swaps:
Pay fixed non-callable452,000 9,335 (1)1.92%4.22%3.00
No hedge designation:
Interest rate swaps:
Pay fixed non-callable159,684 613 (1)2.88%4.13%3.61
Receive fixed non-callable1,963,363 66 (9)3.89%3.93%0.28
Basis swaps382,811 1 (190)4.13%3.89%5.03
Treasury futures102,000 154 (15)112.57 
Netting adjustments(1)
— (1,631)1,631 
Total financial derivatives$25,577,094 $44,875 $(21,618)      
(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 March 31, 2026, Farmer Mac expects to reclassify $6.9 million after-tax from accumulated other comprehensive income to earnings over the next twelve months related to cash flow hedges. This amount could differ from amounts actually recognized due to changes in interest rates, hedge de-designations, and the addition of other hedges after March 31, 2026.
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, 2026, and 2025:

Table 3.2
For the Three Months Ended March 31, 2026
Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives
Net Interest IncomeNon-Interest IncomeTotal
Interest Income Investments and Cash EquivalentsInterest Income LoansTotal Interest Expense
Gains/(losses) on financial derivatives
(in thousands)
Total amounts presented in the Consolidated Statement of Operations
$203,409 $212,552 $(314,565)$1,140 $102,536 
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives16,566 8,116 (4,692)— 19,990 
Recognized on hedged items75,184 24,882 (110,730)— (10,664)
Premium/discount amortization recognized on hedged items609 — (697)— (88)
Income/(expense) related to interest settlements on fair value hedging relationships$92,359 $32,998 $(116,119)$— $9,238 
(Losses)/gains on fair value hedging relationships:
Recognized on derivatives$29,472 $2,084 $(47,087)$— $(15,531)
Recognized on hedged items(29,888)(2,133)47,914 — 15,893 
(Losses)/gains on fair value hedging relationships
$(416)$(49)$827 $— $362 
Expense related to interest settlements on cash flow hedging relationships:
Interest settlements reclassified from AOCI into net income on derivatives$— $— $2,471 $— $2,471 
Recognized on hedged items— — (4,612)— (4,612)
Discount amortization recognized on hedged items— — (25)— (25)
Expense recognized on cash flow hedges$— $— $(2,166)$— $(2,166)
Gains/(losses) on financial derivatives not designated in hedging relationships:
Losses on interest rate swaps
$— $— $— $(961)$(961)
Interest expense on interest rate swaps— — — 969 969 
Treasury futures— — — 1,132 1,132 
Gains/(losses) on financial derivatives not designated in hedge relationships
$— $— $— $1,140 $1,140 
For the Three Months Ended March 31, 2025
Net Income/(Expense) Recognized in Consolidated Statement of Operations on Derivatives
Net Interest IncomeNon-Interest IncomeTotal
Interest Income Investments and Cash EquivalentsInterest Income LoansTotal Interest Expense
Losses on financial derivatives
(in thousands)
Total amounts presented in the Consolidated Statement of Operations:$209,650 $171,764 $(290,475)$(2,636)$88,303 
Income/(expense) related to interest settlements on fair value hedging relationships:
Recognized on derivatives29,144 12,386 (28,494)— 13,036 
Recognized on hedged items69,001 18,968 (103,878)— (15,909)
Premium/discount amortization recognized on hedged items431 — (660)— (229)
Income/(expense) related to interest settlements on fair value hedging relationships$98,576 $31,354 $(133,032)$— $(3,102)
(Losses)/gains on fair value hedging relationships:
Recognized on derivatives$(116,494)$(44,554)$75,600 $— $(85,448)
Recognized on hedged items115,995 44,981 (74,429)— 86,547 
(Losses)/gains on fair value hedging relationships
$(499)$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 hedge 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)
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, 2026 and December 31, 2025:

Table 3.3
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, 2026December 31, 2025March 31, 2026December 31, 2025
(in thousands)
Investment securities, Available-for-Sale, at fair value(1)
$7,999,738 $7,818,278 $(265,878)$(235,989)
Loans held for investment, at amortized cost2,427,133 2,278,212 (333,449)(331,315)
Notes Payable(2)
(12,641,440)(11,837,713)41,224 (6,690)
(1)Amortized cost of $8.3 billion and $8.0 billion as of March 31, 2026 and December 31, 2025, respectively.
(2)Carrying amount represents amortized cost.

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, 2026 and December 31, 2025:

Table 3.4
March 31, 2026
Gross Amount RecognizedGross 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 AdjustmentsFinancial instruments pledged
Cash Collateral
Net Amount(2)
(in thousands)
Assets:
Uncleared derivatives$15,481 $— $15,481 $(15,178)$— $— $303 
Cleared derivatives2,625 (2,625)— — — — — 
Total$18,106 $(2,625)$15,481 $(15,178)$— $— $303 
Liabilities:
Uncleared derivatives$(38,833)$— $(38,833)$15,178 $— $7,068 $(16,587)
Cleared derivatives(7,136)2,625 (4,511)— 4,511 — — 
Total$(45,969)$2,625 $(43,344)$15,178 $4,511 $7,068 $(16,587)
(1)Amounts presented may not agree to the consolidated balance sheet related to counterparties not subject to master netting agreements.
(2)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, 2026, Farmer Mac had additional net exposure of $255.9 million due to instances where Farmer Mac's collateral to a counterparty exceeded the net derivative position and $8.6 million due to instances where Farmer Mac's collateral from a counterparty exceeded the net derivative position.
December 31, 2025
Gross Amount RecognizedGross 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 AdjustmentsFinancial instruments pledgedCash Collateral
Net Amount(2)
(in thousands)
Assets:
Uncleared derivatives$29,179 $— $29,179 $(15,601)$— $(11,684)$1,894 
Cleared derivatives17,242 (1,631)15,611 — (15,611)— — 
Total$46,421 $(1,631)$44,790 $(15,601)$(15,611)$(11,684)$1,894 
Liabilities:
Uncleared derivatives$(21,512)$— $(21,512)$15,601 $— $2,093 $(3,818)
Cleared derivatives(1,631)1,631 — — — — — 
Total$(23,143)$1,631 $(21,512)$15,601 $— $2,093 $(3,818)
(1)Amounts presented may not agree to the consolidated balance sheet related to counterparties not subject to master netting agreements.
(2)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, 2025, Farmer Mac had additional net exposure of $235.0 million due to instances where Farmer Mac's collateral to a counterparty exceeded the net derivative position and $16.9 million due to instances where Farmer Mac's collateral from a counterparty exceeded the net derivative position.

Farmer Mac records posted cash as a reduction in the outstanding balance of cash and cash equivalents and an increase in the balance of prepaid expenses and other assets. Any investment securities posted as collateral are included in the investment securities balances on the Consolidated Balance Sheets. If Farmer Mac had breached certain provisions of the derivative contracts as of March 31, 2026 or December 31, 2025, it could have been required to settle its obligations under the agreements, but would not have been required to post additional collateral. As of March 31, 2026 and December 31, 2025, there were no financial derivatives in a net payable position where Farmer Mac was required to pledge collateral which the counterparty had the right to sell or repledge.
Of Farmer Mac's $26.5 billion notional amount of interest rate swaps outstanding as of March 31, 2026, $19.2 billion were cleared through the Chicago Mercantile Exchange ("CME"). Of Farmer Mac's $25.5 billion notional amount of interest rate swaps outstanding as of December 31, 2025, $19.4 billion were cleared through the CME.