Late Tuesday Fannie Mae released its monthly summary for October. For the third month in a row the retained portfolio declined by 7.3%, compared to 2.1% in September and 7.3% in August. Year-to-date, the retained portfolio is down 1.1% with an ending balance of $720.9 billion. For purposes of its consent order with the Office of Federal Housing Enterprise Oversight (OFHEO), Fannie Mae estimated the mortgage portfolio balance is approximately $719 billion compared to $723 billion previously.

On Thanksgiving week, Freddie Mac released its monthly summary. After five straight months of contraction in its retained portfolio, the GSE reported a modest 3.4% gain in October. Year-to-date, the retained portfolio has shrunk 0.9% and stands at $704.4 billion. For purposes of Freddie Mac's agreement with the OFHEO, the GSE estimated its total retained portfolio at $702.5 billion in October, up from just below $700 billion in September.

Fannie Mae results

Other highlights from Fannie Mae's book of business is that annualized growth rate in October was 7.6%, down from 15.4% in September. For the year, growth remains at 7.7%.

Additionally, portfolio purchases were $13 billion, down from $20.2 billion previously. Sales totaled $6.7 billion compared to $9.7 billion in September, while liquidations were similar at $11 billion.

Net retained commitments fell to just under $8 billion, down from $10.4 billion, Fannie Mae disclosed. Freddie Mac's rival's issued $39.1 billion in October versus $47.0 billion in September.

Year-to-date issuance totals $380.8 billion while holdings of Fannie Mae securities were unchanged at $310 billion in October. As a percentage of the portfolio, Fannie Mae securities represent 43%, which is similar to the previous month.

The agency also reported a one basis point deterioration in delinquencies (90 days or more) for September to 61 basis points. The duration gap of the portfolio remained at zero months in October.

FHLMC numbers

In terms of Freddie Mac, its total mortgage portfolio experienced an annualized growth rate of 9.5% in October compared to 5.1% in September. Year-to-date growth is running at 8.3%.

Retained purchases for October were $189 billion, sales were $2.2 billion, and liquidations totaled $14.6 billion. To compare, in September, purchases were $14.3 billion, sales were $3.4 billion and liquidations were $15.4 billion.

Retained net mortgage purchase agreements entered into rose to $19.4 billion from $15.3 billion previously. Freddie Mac issuance of PCs and structured securities totaled $30.9 billion, up slightly from $30.6 billion.

Year-to-date issuance totals nearly $299 billion. After liquidations, net issuance year-to-date is $118.4 billion. Holdings of Freddie Mac PCs and structured securities were little changed in October from September at $357.8 billion versus $357.3 billion. Holdings of non-Freddie Mac mortgage related securities were also little changed at $281.5 billion compared to $281.1 billion.

The GSE reported a one basis point increase in delinquencies on non-credit enhanced single-family loans to 23 basis points in September. Its duration gap for October held at zero months.

(c) 2006 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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