The month of June brought declines for Fannie Mae, as it reported a decrease in retained portfolio holdings by $2.9 billion - its first dip since February. The portfolio contracted at a 4.6% annual rate to $730.9 billion. The GSE also agreed to purchase $18.7 billion of mortgage debt for settlement in future months, which remained the same amount from May. Overall, the portfolio has grown at a 0.9% rate for the year, compared with a contraction rate of 19.6% in all of 2005.
More specifically, in June, holdings of the agency's own securities also declined sharply while there was a noticeable increase in its non-agency MBS holdings. According to a recent report by Credit Suisse, the decline of $7 billion in portfolio earnings of Fannie Mae's own securities corresponded with tight agency OAS levels, while the increase of $4.1 billion in non-agency MBS holding occurred despite historically tight spreads on non-agency HEL floater spreads.