Company: FMCCN
Filing Date: 2025-05-01
Form Type: 10-Q
Source: 0001026214-25-000060
Chunk: 128

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-05-01
Form: 10-Q
Item: Item 1
Chunk 128
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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 volatility. We estimate income attributable to these instruments over a 12- month period, assuming the balance of these financial instruments stays constant. The estimate includes coupon interest income and expense, amortization income and expense, fair value changes, and the impact from our overall hedge accounting program. We then parallel shock rates up and down 100 bps to determine the volatility in income.

The table below presents the change in estimated income post-tax due to the impact of a parallel shift in rates on financial instruments not primarily