Company: FMCCN
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0001026214-25-000040
Chunk: 98

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-02-13
Form: 10-K
Item: Item 15
Chunk 98
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369)(678)Total assets(293)3,328 6,646 (267)2,781 5,551 Liabilities(34)(1,322)(2,744)(52)(1,519)(3,073)Derivatives329 (1,995)(3,920)322 (1,274)(2,547)Total$2 $11 ($18)$3 ($12)($69)PVS$2 $11 $— $3 $— $— 

(1)The categorization of the PVS impact between assets, liabilities, and derivatives on this table is based upon the economic characteristics of those assets and liabilities, not their accounting classification. For example, purchase and sale commitments of mortgage-related securities and debt of consolidated trusts held by the mortgage-related investments portfolio are both categorized as assets on this table.

(2)Represents the interest-rate risk from our guarantees, which include buy-ups, float, and upfront fees (including buy-downs). 

FREDDIE MAC  |  2024 Form 10-K77

Management's Discussion and AnalysisRisk Management

Table 43 - Duration Gap and PVS Results Year Ended December 31, 20242023(Duration gap in months, dollars in millions)DurationGapPVS-YC25 bpsPVS-L50 bpsDurationGapPVS-YC25 bpsPVS-L50 bpsAverage0.1 $3 $1 — $3 $2 Minimum(0.5)— — (0.2)— — Maximum0.3 10 37 0.3 9 31 Standard deviation0.1 2 4 0.1 2 6 

The disclosure in our Monthly Volume Summary reports, which are available on our website www.freddiemac.com/investors/financials/monthly-volume-summaries.html, reflects the average of the daily PVS-L, PVS-YC, and duration gap estimates for a given reporting period (a month, a quarter, or a year). 

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