Company: FMCCN
Filing Date: 2025-05-01
Form Type: 10-Q
Source: 0001026214-25-000060
Chunk: 26

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-05-01
Form: 10-Q
Item: Item 15
Chunk 26
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 gap, estimated point-in-time, and minimum and maximum PVS-L and PVS-YC results, and an average of the daily values and standard deviation. The table below also provides PVS-L estimated present value (gains) losses assuming an immediate 100 bps shift in the yield curve. The interest-rate sensitivity of a mortgage portfolio varies across a wide range of interest rates.

Freddie Mac 1Q 2025 Form 10-Q28

Management's Discussion and AnalysisRisk Management

Table 25 - Duration Gap and PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve  March 31, 2025December 31, 2024Duration GapPVS-YCPVS-LDuration GapPVS-YCPVS-L(Dollars in millions, duration gap in months)25 bps50 bps100 bps25 bps50 bps100 bpsInterest-rate risk related to:Financial instruments primarily funded by debt0.3 $1 ($8)($83)0.3 $— $6 ($28)All other financial instruments(1)8.1 23 234 482 0.2 1 5 10 Total2.0 $22 $226 $399 0.3 $2 $11 ($18)PVS$22 $226 $399 $2 $11 $— 

(1)The UPB was $67 billion as of March 31, 2025 and $64 billion as of December 31, 2024.

Table 26 - Duration Gap and PVS Results1Q 20251Q 2024(Dollars in millions, duration gap in months)DurationGapPVS-YC25 bpsPVS-L50 bpsDurationGapPVS-YC25 bpsPVS-L50 bpsAverage0.8 $9 $86 0.1 $2 $— Minimum— 1 — (0.1)— — Maximum2.0 24 228 0.2 5 5 Standard deviation0.6 7 81 0.1 1 1 

When managing interest rate risk related to financial instruments not funded primarily by debt, we also consider the overall income sensitivity attributable to these instruments, which we believe is an appropriate measure as we are targeting duration to reduce our long-term income