We propose a federated learning framework to handle heterogeneous client devices which do not conform to the population data distribution. The approach hinges upon a parameterized superquantile-based objective, where the parameter ranges over levels of conformity. We present an optimization algorithm and establish its convergence to a stationary point. We show how to practically implement it using secure aggregation by interleaving iterations of the usual federated averaging method with device filtering. We conclude with numerical experiments on neural networks as well as linear models on tasks from computer vision and natural language processing.