Freddie Mac recently began reporting more detailed retained portfolio growth disclosure, including information regarding holdings of Freddie PCs, other agency securities (FNMA and GNMA), non-agency securities and raw loans. Before this, the GSE reported other agency securities and non-agency securities in aggregate. Fannie Mae does not disclose this type of information with as much granularity in its monthly volume report.

Merrill Lynch analysts report that the increased disclosure shows that since the end of last year, all of Freddie's retained portfolio growth has been in non-agency, which has grown by $13 billion. Meanwhile, Freddie PC holdings decreased by $6 billion and non-Freddie agency securities have dipped by $3 billion. Merrill added that the non-agency growth could comprise ABS or CMBS and non-agency conforming balance MBS such as those found in the Alt-A market among other things.

Merrill also noted the considerable increase in mortgage purchase agreements - to $32 billion from $13.3 billion - that Freddie reported in its March Monthly Volume Summary. "While Freddie has shown a penchant over the past few months for increasing their retained portfolio via the non-agency market in the face of tight MBS to agency spreads, this large increase in the commitments for the retained portfolio is still likely positive for MBS," analysts wrote, adding that MBS has been widening versus agencies since mid-to-late February, a factor that could probably account for the rise in commitments.

In its most recent volume summary, Freddie also disclosed that its retained portfolio grew to $656.7 billion at an annualized 4.7% rate. Guaranty business remained flat at $1.2 trillion as issuance was mostly offset by liquidations caused by a pickup in refinancings. Interest rate and credit risk measures are still strong with a zero months duration gap. Credit-enhanced loan delinquencies dropped one basis point to 2.70% while total delinquencies remained at 72 basis points.

Copyright 2005 Thomson Media Inc. All Rights Reserved.

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