Company: FMCCN
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001026214-25-000040
Chunk: 299

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-02-13
Form: 10-K
Item: Item 15
Chunk 299
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10-K200

Financial Statements                               Notes to Consolidated Financial Statements | Note 16

InstrumentValuation TechniqueClassification in the Fair Value HierarchyOther Assets / Other LiabilitiesDerivativesExchange-traded futuresQuoted prices in active marketsLevel 1Interest-rate swapsDiscounted cash flows. Significant inputs include market-based interest rates.Level 2Option-based derivativesOption-pricing models. Significant inputs include interest-rate volatility matrices.Level 2Purchase and sale commitmentsSee Mortgage-related securitiesLevel 2Loan commitmentsMultifamily loan purchase commitmentsSee Multifamily loansLevel 2 or 3 Guarantee assetsSingle-FamilyExternal pricing sources with adjustments for specific loan characteristics.Level 3MultifamilyDiscounted cash flows. Significant inputs include current OAS-to-benchmark interest rates for new guarantees. Significant increases (decreases) in the OAS in isolation would result in a significantly lower (higher) fair value measurement.Level 3Guarantee obligationsSingle-FamilyDelivery and guarantee fees that we charge under our current market pricing.Level 2Internal credit models. Significant inputs include loan characteristics, loan performance, and status information.Level 3MultifamilyDiscounted cash flows. Significant inputs are similar to those used in the valuation technique for the Multifamily guarantee assets.Level 3

FREDDIE MAC  |  2024 Form 10-K201

Financial Statements                               Notes to Consolidated Financial Statements | Note 16

Assets and Liabilities Measured at Fair Value on a Recurring BasisThe table below presents our assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments where we have elected the fair value option. 

Table 16.1 - Assets and Liabilities Measured at Fair Value on a Recurring BasisDecember 31, 2024(In millions)Level 1Level 2Level 3Netting Adjustment(1)TotalAssets:Investment securities:Available-for-sale$— $3,316 $583 $— $3,899 Trading:Mortgage-related securities— 6,131 3,027 — 9,158 Non-mortgage-related securities42,289 425 — — 42,714 Total trading securities42,289 6,556 3,027 — 51,872 Total investment securities42,289 9,872 3,610 — 55,771 Mortgage loans held-for