Company: FMCCN
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001026214-25-000116
Chunk: 82

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-10-30
Form: 10-Q
Item: Item 15
Chunk 82
---
edges134,209 185 (2,475)159,086 209 (4,149)Receivables (payables)26 (56)91 — Netting adjustments(3)(4,368)4,415 (6,080)6,282 Total derivatives portfolio, net$978,386 $958 ($729)$954,482 $501 ($954)(1)Includes swaptions on credit indices with a notional or contractual amount of $6.4 billion and $6.8 billion at September 30, 2025 and December 31, 2024, respectively, and a fair value of $1.0 million at both September 30, 2025 and December 31, 2024.(2)Includes derivative instruments related to CRT transactions that are considered freestanding credit enhancements.(3)Represents counterparty netting and cash collateral netting.

Freddie Mac 3Q 2025 Form 10-Q71

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

Derivatives 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 DerivativesSeptember 30, 2025December 31, 2024 Derivative AssetsDerivative LiabilitiesDerivative AssetsDerivative Liabilities(In millions)OTC derivatives$5,204 ($4,388)$6,360 ($6,315)Cleared and exchange-traded derivatives15 (44)74 — Mortgage commitment derivatives28 (29)53 (40)Other79 (683)94 (881)Total derivatives5,326 (5,144)6,581 (7,236)Counterparty netting(3,044)3,044 (3,906)3,906 Cash collateral netting(1)(1,324)1,371 (2,174)2,376 Net amount presented in the condensed consolidated balance sheets958 (729)501 (954)Gross amount not offset in the condensed consolidated balance sheets(2)(761)6 (190)11 Net amount$197 ($723)$311 ($943)(1)Excess cash collateral held is presented as a derivative liability,