Company: FMCCN
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001026214-25-000116
Chunk: 33

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-10-30
Form: 10-Q
Item: Item 15
Chunk 33
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 rates and spreads change. We manage this variability of GAAP earnings, which may not reflect the economics of our business, using fair value hedge accounting. See MD&A - Consolidated Results of Operations and MD&A - Our Business Segments for additional information on the effect of changes in interest rates and market spreads on our financial results.

Interest Rate Related GAAP Fair Value Sensitivity

Our GAAP financial results are subject to significant earnings variability from period to period based on changes in market conditions.

In an effort to reduce our GAAP earnings variability and better align our GAAP results with the economics of our business, we elect to use hedge accounting for certain single-family mortgage loans and certain debt instruments. See Note 8 for additional information on hedge accounting.

GAAP Fair Value Sensitivity to Changes in Interest Rates

We evaluate a range of interest rate scenarios to determine the sensitivity of our earnings due to changes in interest rates and to determine our fair value hedge accounting strategies. The interest rate scenarios evaluated include parallel shifts in the yield curve in which interest rates increase or decrease by 100 bps, non-parallel shifts in the yield curve in which long-term interest rates increase or decrease by 100 bps, and non-parallel shifts in the yield curve in which short-term and medium-term interest rates increase or decrease by 100 bps. This evaluation identifies the net effect on comprehensive income from changes in fair value attributable to changes in interest rates for financial instruments measured at fair value, including the effects of fair value hedge accounting, for each of the identified scenarios. This evaluation does not include the net effect on comprehensive income from interest-rate sensitive items that are not measured at fair value (e.g., amortization of mortgage loan premiums and discounts, changes in fair value of held-for-sale mortgage loans for which we have not elected the fair value option, etc.) or from changes in our future contractual net interest income due to repricing of our interest-bearing assets and liabilities. The before-tax results of this evaluation are shown in the table below.

Freddie Mac 3Q 2025 Form 10-Q31

Management's Discussion and AnalysisRisk Management

Table 29 - GAAP Fair Value Sensitivity to Changes in Interest Rates (In millions)September 30, 2025September 30, 2024Interest rate scenarios(1)Parallel yield curve shifts:   +100 bps$58 $52   -100 bps(58)(52)Non-parallel yield curve shifts - long-term interest rates:  +100