Freddie Mac reported its July monthly volume summary this morning. The report showed a sharp contraction in its retained portfolio, -18.6% versus -1.4% in June. This brings year-to-date annualized growth to essentially flat at 0.2%.

Retained purchases totaled $14.4 billion, down from $29.8 billion in June. More than offsetting the purchases were sales totaling nearly $10 billion and liquidations of $15.7 billion, leaving the ending balance of the portfolio at $711.0 billion in July versus $722.2 in the previous month end. Freddie Mac said that for purposes of their voluntary growth limit with OFHEO, they estimate their total retained mortgage at $702.6 billion. Finally, retained portfolio mortgage purchase agreements entered into in July dropped to $2.6 billion from $19.1 billion.

Within the retained portfolio, the balance of Freddie Mac securities declined for the second month in a row to $364.5 billion from $368.5 billion. Holdings of non-Freddie Mac MBS also declined by $7.8 billion in July. As a percentage of the portfolio, Freddie Mac securities make up 51.3%, up slightly from June, while non-Freddies slipped to 48.7% from 49% previously.

Freddie Mac reported total mortgage portfolio growth was just 4.3% compared to 10.3% in June. Year-to-date, the annualized growth rate stands at 8.3%.

Total guaranteed PCs and structure securities issued in July totaled $30.9 billion, up from $28.9 billion in June. After liquidations, the net increase for July was $3.6 billion, down from $9.6 billion previously.

Delinquencies on non-credit enhanced single-family loans continued to improve in June, declining one basis point from May to 22 basis points. Finally, Freddie Mac reported its duration gap remained at zero months, and that its portfolio market value sensitivity level held steady at 1%.

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