Company: FMCCN
Filing Date: 2025-07-31
Form Type: 10-Q
Source: 0001026214-25-000086
Chunk: 196

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-07-31
Form: 10-Q
Item: Item 1
Chunk 196
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.Table 8.3 - Gains and Losses on Derivatives (In millions) 2Q 20252Q 2024YTD 2025YTD 2024Interest-rate risk management derivatives:Swaps($98)$136 ($415)$398 Written options94 (86)220 (49)Purchased options(141)242 (357)298 Futures(10)169 (176)543 Total interest-rate risk management derivatives fair value gains (losses)(155)461 (728)1,190 Mortgage commitment derivatives(75)32 (183)72 CRT-related derivatives(1)(28)51 16 8 Other51 (55)162 (163)Total derivatives not designated as hedges fair value gains (losses)($207)$489 ($733)$1,107 

(1)Includes derivative instruments related to CRT transactions that are considered freestanding credit enhancements.  

Freddie Mac 2Q 2025 Form 10-Q72

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

Hedge AccountingThe table below presents the effects of fair value hedge accounting by condensed consolidated statements of income line item, including the gains and losses on derivatives and hedged items designated in qualifying hedge relationships and other components due to the application of hedge accounting.Table 8.4 - Gains and Losses on Fair Value Hedges 2Q 20252Q 2024(In millions) Interest Income Interest Expense Interest Income Interest Expense Total amounts of income and expense line items presented in our condensed consolidated statements of income in which the effects of fair value hedges are recorded:$32,048 ($26,749)$29,064 ($24,136)Interest contracts on mortgage loans held-for-investment:Gain (loss) on fair value hedging relationships:Hedged items328 — (234)— Derivatives designated as hedging instruments(341)— 160 — Interest accruals on hedging instruments123 — 240 — Discontinued hedge related basis adjustments amortization70 — 73 — Interest contracts on debt:Gain (loss) on fair value hedging relationships:Hedged items— (607)— (511)Derivatives designated as hedging instruments— 611 — 519 Interest accruals on hedging instruments— (466)— (874