Company: FMCCN
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001026214-25-000116
Chunk: 150

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-10-30
Form: 10-Q
Item: Item 1
Chunk 150
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 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 bps163 217   -100 bps(163)(217)Non-parallel yield curve shifts - short-term and medium-term interest rates: +100 bps(105)(165)    -100 bps105 165 

(1)The earnings sensitivity presented is calculated using the change in interest rates and net effective duration exposure.

The actual effect of changes in interest rates on our comprehensive income in any given period may vary based on a number of factors, including, but not limited to, the composition of our assets and liabilities, the actual changes in interest rates that are realized at different terms along the yield curve, and the effectiveness of our