Company: FMCCN
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001026214-25-000040
Chunk: 266

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-02-13
Form: 10-K
Item: Item 15
Chunk 266
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Financial Statements                              Notes to Consolidated Financial Statements | Note 9

Gains and Losses on DerivativesThe table below presents the gains and losses on derivatives not designated in qualifying hedge relationships. These amounts are reported on our consolidated statements of income as investment gains, net.        Table 9.3 - Gains and Losses on DerivativesYear Ended December 31,(In millions)202420232022Interest-rate risk management derivatives:Swaps$514 $359 $970 Written options(134)170 (903)Purchased options452 (335)1,794 Futures556 197 2,249 Total interest-rate risk management derivatives fair value gains (losses)1,388 391 4,110 Mortgage commitment derivatives103 17 2,743 CRT-related derivatives(1)75 (176)(172)Other(134)11 (225)Total derivatives not designated as hedges fair value gains (losses)$1,432 $243 $6,456 (1)Includes derivative instruments related to CRT transactions that are considered freestanding credit enhancements.  

Hedge AccountingWe apply fair value hedge accounting to certain single-family mortgage loans where we hedge the changes in fair value of these loans attributable to the designated benchmark interest rate, using interest-rate swaps. We also apply fair value hedge accounting to certain issuances of debt where we hedge the changes in fair value of the debt attributable to the designated benchmark interest rate, using interest-rate swaps. Under the portfolio layer method fair value hedge accounting strategy, we hedge the changes in fair value of a portion of a closed pool of single-family mortgage loans that is not expected to be affected by prepayments, defaults, and other events affecting the timing and amount of cash flows. As part of this strategy, we have also elected to measure the change in fair value of the hedged item on the basis of the benchmark rate component of the contractual coupon cash flows determined at the hedge inception and by assuming the hedged item has a term that reflects only the designated cash flows being hedged.We apply hedge accounting to qualifying hedge relationships. A qualifying hedge relationship exists when changes in the fair value of a derivative hedging instrument are expected to be highly effective in offsetting changes in the fair value of the hedged item attributable to the risk being hedged during the term of the hedge relationship. No amounts have been excluded from the assessment of hedge effectiveness. To assess hedge effectiveness