Freddie Mac 2015 Annual Report Download - page 149
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Management's Discussion and Analysis Risk Management | Interest Rate Risk and Other Market Risks
Freddie Mac 2015 Form 10-K 147
these figures is consistent with the methodology used to calculate our PMVS-YC and PMVS-L metrics
above.
GAAP FV-YC GAAP FV-L
(in millions) 25 bps 50 bps 100 bps
December 31, 2015 $ 635 $1,630 $3,573
December 31, 2014 $ 672 $1,176 $2,597
The disclosure in our Monthly Volume Summary reports, which are available on our web site
www.freddiemac.com, reflects the average of the daily PMVS-L, PMVS-YC, and duration gap estimates
for a given reporting period (a month, a quarter, or year).