On the heels of its rival Freddie Mac, Fannie Mae also recently released additional disclosure data for its pools. Having the new data available from both GSEs makes a comparison of credit-related characteristics between the agencies possible for the first time, analysts said.

The new data items revealed were original LTV, FICO score, loan purpose, occupancy type, property type and seller/servicer. Although there were differences for some cohorts, analysts said that Fannie and Freddie disclosure variables are, for the most part, alike.

In a recent report, JPMorgan Securities wrote, "As was the case with Freddie Mac data, our preliminary analysis indicates a fairly robust data set with very few blemishes."

The report said that new Fannie originations are similar to Freddie's, but only with slightly lower LTVs and FICOs. The biggest surprise was that new Fannie pools are averaging slightly lower LTVs compared with Golds - approximately 1% less. This slight difference seen is in contrast to the prepayment differentials between the two sets of collateral.

However, the average FICOs on 2003 FNMAs are roughly two to five points lower than similar vintage Golds. Approximately 25% of 2003 FNMA 5s and 5.5s were purchase originations. This suggests that about 75% of all purchase originations are taking out 30-year mortgages, stated JPMorgan.

The firm noted that not only is the average LTV for 2003 originations considerably lower compared to previous years, the percentage of loans with LTV greater than 80% has also decreased significantly. Nearly 3 percent of Fannie Mae pools securitized in 2003 have original LTVs of lower than 80%. This is in contrast to the 2000 experience when there was low refinancing activity - almost 47% of pools had original LTVs of more than 80%.

It is important to note, said researchers, that original LTVs in a strong refinancing environment could be misleading as a large share of these LTVs could be appraised LTVs. But, nevertheless, lower LTVs on new originations provide comfort on credit and extension risk issues if rates back up.

JPMorgan said that new Fannies seem to have higher dispersion in LTV and FICO scores than Golds. For instance, Fannie 5.5s of 2003 have 33% of the mortgages in the 60% to 70% LTV level and 63% focused in the 70% to 80% LTV bucket. In contrast, concentrations for Golds in these two ranges are 15% and 82%, respectively.

Meanwhile, Fannie Mae also recently reported that its forward retained commitments jumped by 78% to $73.8 billion last month, which is the highest this figure has been. The prior record was $67.3 billion recorded in October 2002.

Kevin Jackson, a vice president at RBC Dain Rauscher, noted that record portfolio liquidations have put pressure on Fannie's ability to grow its retained portfolio. The GSE's forward retained commitments have already reached $231.1 billion year-to-date. Compare this figure to the $388.1 billion Fannie had committed to purchase in 2002.

He added that GSE demand for MBS supply should still remain high. "With political scrutiny hurting both agencies' stock prices, increased earnings through retained portfolio growth might be the only way to restore investor confidence in the status of GSE management," said Jackson.

As Fannie struggles to keep its duration gap within its targeted range as well as to maintain its portfolio, which is running off at record speeds, Jackson said the agency will probably remain an aggressive buyer of MBS.


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