Company: FMCCN
Filing Date: 2025-05-01
Form Type: 10-Q
Source: 0001026214-25-000060
Chunk: 71

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-05-01
Form: 10-Q
Item: Item 15
Chunk 71
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885 — (162)28,962 — (186)Other23,216 69 (601)20,505 94 (695)Total derivatives not designated as hedges747,628 5,756 (2,782)795,396 6,281 (3,087)Designated as fair value hedgesInterest-rate risk management derivatives:Swaps138,684 206 (3,425)159,086 209 (4,149)Total derivatives designated as fair value hedges138,684 206 (3,425)159,086 209 (4,149)Receivables (payables)15 (23)91 — Netting adjustments(3)(5,128)5,415 (6,080)6,282 Total derivative portfolio, net$886,312 $849 ($815)$954,482 $501 ($954)(1)Includes swaptions on credit indices with a notional or contractual amount of $6.5 billion and $6.8 billion at March 31, 2025 and December 31, 2024, respectively, and a fair value of $3.0 million and $1.0 million at March 31, 2025 and December 31, 2024, respectively.(2)Includes derivative instruments related to CRT transactions that are considered freestanding credit enhancements.(3)Represents counterparty netting and cash collateral netting.

Freddie Mac 1Q 2025 Form 10-Q66

Financial Statements                         Notes to the Condensed Consolidated Financial Statements | Note 8 

Derivative Counterparty Credit Risk

The table below presents offsetting and collateral information related to derivatives which are subject to enforceable master netting agreements or similar arrangements.Table 8.2 - Offsetting of Derivatives March 31, 2025December 31, 2024 Derivative AssetsDerivative LiabilitiesDerivative AssetsDerivative Liabilities(In millions)OTC derivatives$5,879 ($5,430)$6,360 ($6,315)Cleared and exchange-traded derivatives7 (17)74 — Mortgage commitment derivatives22 (22)53 (40)Other69 (761)94 (881)Total derivatives5,977 (6,230)6,581 (7,236)Counter