Company: FMCCN
Filing Date: 2025-07-31
Form Type: 10-Q
Source: 0001026214-25-000086
Chunk: 30

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-07-31
Form: 10-Q
Item: Item 15
Chunk 30
---
, 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.

Table 25 - Duration Gap and PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve  June 30, 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 debt0.2 $2 $7 ($11)0.3 $— $6 ($28)All other financial instruments(1)13.8 36 414 849 0.2 1 5 10 Total3.1 $34 $421 $838 0.3 $2 $11 ($18)PVS$34 $421 $838 $2 $11 $— 

(1)The UPB was $70 billion as of June 30, 2025 and $64 billion as of December 31, 2024.

Table 26 - Duration Gap and PVS Results2Q 20252Q 2024(Dollars in millions, duration gap in months)DurationGapPVS-YC25 bpsPVS-L50 bpsDurationGapPVS-YC25 bpsPVS-L50 bpsAverage2.9 $32 $358 0.1 $3 $— Minimum2.0 17 230 (0.1)— — Maximum3.4 40 423 0.2 9 4 Standard deviation0.4 6 60 0.1 2 1 YTD 2025YTD 2024(Dollars in millions, duration gap in months)DurationGapPVS-YC25 bpsPVS-L50 bpsDurationGapPVS-YC25 bpsPVS-L50 bpsAverage1.9 $21 $223 0.1 $3