Fannie Mae released the details of its September month-end duration position last Thursday, disclosing a positive one-month duration gap. The figure was down from Fannie's August results of positive four months. Analysts from US Bancorp Piper Jaffray cited improving delinquency rates and credit losses, which remained at under one basis point, for the duration gap results.

The GSE's total book of business, comprising its retained portfolio as well as net MBS, grew at a 16.2% compound annual rate in the second quarter of this year and reached $2.128 trillion. US Bancorp analysts are forecasting mortgage portfolio growth of 16% and outstanding MBS growth of 17.6% for this year. For next year, they are projecting a 14% and 11.5% growth for portfolio and MBS growth, respectively. Analysts said that their estimates consider a sharp drop in the net interest margin to 1.06% at year's end and 0.99% in 2004, offsetting the dip in the margin with a lower debt repurchase.

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