Fannie Mae reported last week that its retained portfolio shrunk 4.8% in January to $721.4 billion. This compares to 12.3% growth in December to $724.4 billion. Previously, Freddie Mac reported 4.4% growth in its retained portfolio to $706.2 billion, after contracting 1.2% in December.

The shrinkage resulted from sales and liquidations totaling $1.9 billion and $10.7 billion, respectively, with portfolio purchases at $9.7 billion. In December, purchases totaled $19.7 billion with sales and liquidations similar to January's levels.

Net retained commitments were up just $1.1 billion compared to a revised $14.9 billion in December (previously reported as $15.2 billion). Freddie Mac's net retained commitments were $18.1 billion versus $14.3 billion in the previous month.

Fannie Mae issuance totaled nearly $44 billion, up from nearly $41 billion in December. After liquidations, issuance was $14.4 billion versus $7.7 billion previously. Meanwhile, Freddie Mac reported its issuance of PCs and structured securities increased to $36.7 billion in January from $32.7 billion in December. After liquidations, net issuance totaled $18.7 billion, up from $13.3 billion previously.

Fannie Mae's upgraded Monthly Summary provided additional detail regarding its holdings of FNMA MBS as well as non-Fannie Mae mortgage holdings. This is similar to Freddie's report. Fannie MBS in portfolio totaled $295.4 billion in January, down $3.4 billion from December. This represents 41% of their mortgage portfolio. Agency and non-agency non-Fannie Mae holdings were $144.5 billion, 20% of the portfolio. In the previous release, non-Fannie Mae mortgage holdings were $146.5 billion. Mortgage loans make up the balance, or $281.5 billion and 39%, up $2.4 billion from December. Freddie Mac's breakdown is 50.6% in PCs and structured securities, 40% in non-Freddie Mac mortgage-related securities, and 9.4% in mortgage loans.

Delinquency data on non-credit enhanced conventional single-family loans was 37 basis points in December. Duration gap held unchanged at zero months.

(c) 2007 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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