Company: FMCCN
Filing Date: 2025-05-01
Form Type: 10-Q
Source: 0001026214-25-000060
Chunk: 70

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-05-01
Form: 10-Q
Item: Item 15
Chunk 70
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 time generally without penalty.

Freddie Mac 1Q 2025 Form 10-Q65

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

NOTE 8

DerivativesWe analyze the interest-rate sensitivity of financial assets and liabilities across a variety of interest-rate scenarios based on market prices, models, and economics. We use derivatives primarily to hedge interest-rate sensitivity mismatches between our financial assets and liabilities. We principally use interest-rate swaps, purchased or written options (including swaptions), and exchange-traded futures in our interest-rate risk management activities. We designate certain derivatives 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 Value March 31, 2025December 31, 2024 Notional orContractualAmountDerivative AssetsDerivative LiabilitiesNotional orContractualAmountDerivative AssetsDerivative Liabilities(In millions)Not designated as hedgesInterest-rate risk management derivatives:Swaps$413,151 $1,238 ($340)$382,761 $1,512 ($340)Written options36,261 — (1,663)33,117 — (1,826)Purchased options(1)143,540 4,427 — 126,750 4,649 — Futures60,935 — — 165,894 — — Total interest-rate risk management derivatives653,887 5,665 (2,003)708,522 6,161 (2,166)Mortgage commitment derivatives41,640 22 (16)37,407 26 (40)CRT-related derivatives(2)28,