Freddie Mac's August monthly volume summary illustrates the escalation of the financial crisis this summer and its need to preserve capital.
The retained portfolio dropped $37.4 billion to $760.9 billion from $798.2 billion in the previous month. This translates into an annualized growth rate of negative 56.2%. Net retained commitments declined $15.4 billion from July' decline of $0.3 billion.
The contraction came on sales of $37.4 billion in PCs and structured securities, $21.3 billion in non-FHLMC agency securities, and $2.9 billion in non-FHLMC non-agencies. Only mortgage loan holdings recorded a modest increase of $3.6 billion.
Other details from the monthly volume summaries are highlighted below.
Freddie Mac reported total guaranteed PCs and structured securities issued was $22.1 billion, up slightly from $21.7bln in July. After liquidations, issuance was $3.4 billion compared with $1.7 billion in the previous month.
The agency reported negative 9.3% annualized growth in the total mortgage portfolio in August from 4.2% in July. Year-to-date growth is 6.4%.
Total delinquencies rose 10 basis points to 111 basis points in August, and is up 65 basis points from August 2007.
The effective duration gap remained at zero.