Company: FMCCN
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001026214-25-000116
Chunk: 198

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-10-30
Form: 10-Q
Item: Item 1
Chunk 198
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 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 Value September 30, 2025December 31, 2024 Notional orContractualAmountDerivative AssetsDerivative LiabilitiesNotional orContractualAmountDerivative AssetsDerivative Liabilities(In millions)Not designated as hedgesInterest-rate risk management derivatives:Swaps$504,376 $1,079 ($370)$382,761 $1,512 ($340)Written options41,680 — (1,544)33,117 — (1,826)Purchased options(1)127,370 3,929 — 126,750 4,649 — Futures53,671 — — 165,894 — — Total interest-rate risk management derivatives727,097 5,008 (1,914)708,522 6,161 (2,166)Mortgage commitment derivatives61,613 28 (16)37,407 26 (40)CRT-related derivatives(2)27,726 — (167)28,962 — (186)Other27,741 79 (516)20,505 94 (695)Total derivatives not designated as hedges844,177 5,115 (2,613)795,396 6,281 (3,087)Designated as fair value hedgesInterest-rate risk management derivatives:Swaps134,209 185 (2,475)159,086 209 (4,149)Total derivatives designated as fair value hedges134,209 185 (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