Company: FMCCN
Filing Date: 2025-05-01
Form Type: 10-Q
Source: 0001026214-25-000060
Chunk: 27

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-05-01
Form: 10-Q
Item: Item 15
Chunk 27
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 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 funded by debt over the next 12 months relative to the baseline scenario.

Table 27 - Income Sensitivity on Financial Instruments Not Primarily Funded by Debt(In millions)March 31, 2025March 31, 2024 +100 bps rate shift$478 $434  - 100 bps rate shift(536)(434)

Derivatives enable us to reduce our economic interest-rate risk exposure as we continue to align our derivative portfolio with the changing duration of our economically hedged assets and liabilities. The table below shows that the PVS-L risk levels, assuming a 50 bps shift in the yield curve for the periods presented, would have been higher if we had not used derivatives.

Table 28 - PVS-L Results Before Derivatives and After Derivatives(In millions)March 31, 2025December 31, 2024PVS-L (50 bps):Before derivatives$1,939 $2,006 After derivatives226 11 Effect of Derivatives(1,713)(1,995)

GAAP Fair Value Sensitivity to Market Risk

The GAAP accounting treatment for our financial assets and liabilities (i.e., some are measured at amortized cost, while others are measured at fair value) creates variability in our GAAP earnings when interest rates and spreads change. We manage this variability of GAAP earnings, which may not reflect the economics of our business, using fair value hedge accounting. See MD&A - Consolidated Results of Operations and MD&A - Our Business Segments for additional information on the effect of changes in interest rates and market spreads on our financial results.

Freddie Mac 1Q 2025 Form 10-Q29

Management's Discussion and AnalysisRisk Management

Interest Rate Related GAAP Fair Value Sensitivity

Our GAAP financial results are subject to significant earnings variability from period to period based on changes in market conditions.

In an effort to reduce our GAAP earnings variability and better align our GAAP results with