Company: FMCCN
Filing Date: 2025-07-31
Form Type: 10-Q
Source: 0001026214-25-000086
Chunk: 195

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-07-31
Form: 10-Q
Item: Item 1
Chunk 195
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 on credit indices with a notional or contractual amount of $6.5 billion and $6.8 billion at June 30, 2025 and December 31, 2024, respectively, and a fair value of $1.0 million at both June 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 2Q 2025 Form 10-Q71

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

Derivative 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 Derivatives June 30, 2025December 31, 2024 Derivative AssetsDerivative LiabilitiesDerivative AssetsDerivative Liabilities(In millions)OTC derivatives$5,660 ($4,890)$6,360 ($6,315)Cleared and exchange-traded derivatives1 (190)74 — Mortgage commitment derivatives54 (41)53 (40)Other73 (755)94 (881)Total derivatives5,788 (5,876)6,581 (7,236)Counterparty netting(3,234)3,234 (3,906)3,906 Cash collateral netting(1)(1,668)1,675 (2,174)2,376 Net amount presented in the condensed consolidated balance sheets886 (967)501 (954)Gross amount not offset in the condensed consolidated balance sheets(2)(739)128 (190)11 Net amount$147 ($839)$311 ($943)(1)Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset.

(2)Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability, netted by counterparty, presented on the condensed consolidated balance sheets. 

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 condensed consolidated statements of income as investment gains, net