Company: FMCCN
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001026214-25-000040
Chunk: 262

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-02-13
Form: 10-K
Item: Item 15
Chunk 262
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 which is included in other liabilities on our consolidated balance sheets.

FREDDIE MAC  |  2024 Form 10-K175

Financial Statements                              Notes to Consolidated Financial Statements | Note 9

The table below presents the notional value and fair value of derivatives reported on our consolidated balance sheets.Table 9.1 - Derivative Assets and Liabilities at Fair ValueDecember 31, 2024December 31, 2023 Notional orContractualAmountDerivative AssetsDerivative LiabilitiesNotional orContractualAmountDerivative AssetsDerivative Liabilities(In millions)Not designated as hedgesInterest-rate risk management derivatives:Swaps$382,761 $1,512 ($340)$351,193 $1,638 ($462)Written options33,117 — (1,826)48,227 — (1,746)Purchased options(1)126,750 4,649 — 89,790 4,251 — Futures165,894 — — 132,982 — — Total interest-rate risk management derivatives708,522 6,161 (2,166)622,192 5,889 (2,208)Mortgage commitment derivatives37,407 26 (40)26,911 43 (10)CRT-related derivatives(2)28,962 — (186)30,578 — (228)Other20,505 94 (695)14,572 3 (567)Total derivatives not designated as hedges795,396 6,281 (3,087)694,253 5,935 (3,013)Designated as fair value hedgesInterest-rate risk management derivatives:Swaps159,086 209 (4,149)172,202 276 (5,658)Total derivatives designated as fair value hedges159,086 209 (4,149)172,202 276 (5,658)Receivables (payables)91 — 17 (36)Netting adjustments(3)(6,080)6,282 (5,742)7,834 Total derivative portfolio, net$954,482 $501 ($954)$866,455 $486 ($873)(1)Includes swaptions on credit indices with a notional or contractual amount