Freddie Mac reviews $600bn hedge book as losses mount

Swap spread inversion contributed to derivatives losses of $2.7 billion in 2015

Social housing
Mortgage giant looking for ways to dampen volatility of hedging book

The Federal Home Loan Mortgage Corporation, known as Freddie Mac, is reassessing its interest rate hedging strategy amid warnings that losses in its derivatives portfolio might force it to seek another bailout from the US Treasury.

Freddie Mac has recorded a series of multi-billion-dollar mark-to-market losses in its derivatives portfolio over the last two years, including a $4.2 billion loss that pushed it $475 million into the red in the third quarter of 2015.

Donald Layton, chief executive of

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