Company: FMCCN
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001026214-25-000116
Chunk: 148

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-10-30
Form: 10-Q
Item: Item 1
Chunk 148
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 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 debt0.4 $2 $39 $82 0.3 $— $6 ($28)All other financial instruments(1)16.8 37 547 1,139 0.2 1 5 10 Total4.1 $36 $586 $1,221 0.3 $2 $11 ($18)PVS$36 $586 $1,221 $2 $11 $— 

(1)The UPB was $73 billion as of September 30, 2025 and $64 billion as of December 31, 2024.

Table 26 - Duration Gap and PVS Results 3Q 20253Q 2024(Dollars in millions, duration gap in months)DurationGapPVS-YC25 bpsPVS-L50 bpsDurationGapPVS-YC25 bpsPVS-L50 bpsAverage3.2 $34 $439 0.1 $4 $3 Minimum2.7 25 385 (0.5)— — Maximum4.1 45 589 0.3 10 37 Standard deviation0.3 4 62 0.2 2 8 YTD 2025YTD 2024(Dollars in millions, duration gap in months)DurationGapPVS-YC25 bpsPVS-L50 bpsDurationGapPVS-YC25 bpsPVS-L50 bpsAverage2.3 $25 $295 0.1 $3 $1 Minimum— 1 — (0.5)— — Maximum4.1 45 589 0.3 10 37 Standard deviation1.2 13 165 0.1 1 4 

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