Company: FMCCN
Filing Date: 2025-10-30
Form Type: 10-Q
Source: 0001026214-25-000116
Chunk: 31

Company: FEDERAL HOME LOAN MORTGAGE CORP
Filing Date: 2025-10-30
Form: 10-Q
Item: Item 15
Chunk 31
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 and derivatives.

The tables below provide our duration gap, estimated point-in-time, and minimum and maximum PVS-L and PVS-YC results, and an average of the daily values and standard deviation. The table below also provides PVS-L estimated present value (gains) losses assuming an immediate 100 bps shift in the yield curve. The interest-rate sensitivity of a mortgage portfolio varies across a wide range of interest rates.

Table 25 - Duration Gap and PVS-YC and PVS-L Results Assuming Shifts of the Yield Curve  September 30, 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 debt0.4 $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 bps