Company: FMCCN
Filing Date: 2025-07-31
Form Type: 10-Q
Source: 0001026214-25-000086
Chunk: 79

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-07-31
Form: 10-Q
Item: Item 15
Chunk 79
---
 as hedging instruments in qualifying hedge accounting relationships. Interest-rate risk management derivatives that are not designated in qualifying hedge accounting relationships are economic hedges of financial instruments measured at fair value on a recurring basis or of other transactions or instruments that expose us to interest-rate risk. When we use derivatives to mitigate our exposures, we consider a number of factors, including cost, exposure to counterparty credit risk, and our overall risk management strategy.We apply fair value hedge accounting to certain single-family mortgage loans and certain issuances of debt where we hedge the changes in fair value of these items attributable to the designated benchmark interest rate, using interest-rate swaps.

Derivative Assets and Liabilities at Fair ValueThe table below presents the notional value and fair value of derivatives reported on our condensed consolidated balance sheets. Table 8.1 - Derivative Assets and Liabilities at Fair ValueJune 30, 2025December 31, 2024 Notional orContractualAmountDerivative AssetsDerivative LiabilitiesNotional orContractualAmountDerivative AssetsDerivative Liabilities(In millions)Not designated as hedgesInterest-rate risk management derivatives:Swaps$459,688 $1,200 ($326)$382,761 $1,512 ($340)Written options33,680 — (1,641)33,117 — (1,826)Purchased options(1)126,740 4,202 — 126,750 4,649 — Futures53,969 — — 165,894 — — Total interest-rate risk management derivatives674,077 5,402 (1,967)708,522 6,161 (2,166)Mortgage commitment derivatives52,773 54 (18)37,407 26 (40)CRT-related derivatives(2)27,633 — (177)28,962 — (186)Other26,833 74 (578)20,505 94 (695)Total derivatives not designated as hedges781,316 5,530 (2,740)795,396 6,281 (3,087)Designated as fair value hedgesInterest-rate risk management derivatives:Swaps146,661 258 (2,923)159,086 209 (4,149)Total derivatives designated as fair value hedges146,661 258 (2,923)159,086