Freddie Mac reported last week that its retained portfolio contracted 1.2% annualized in May to $723.1 billion, compared to 14.0% growth in April. Year-to-date, retained portfolio growth is a modest 4.4%. The dip in the retained portfolio was due to sales of $5.3 billion and liquidations of $15.8 billion that offset purchases of $20.3 billion. In April, retained purchases totaled $29.4 billion, while sales and liquidations were similar to May's level. Net retained agreements in May totaled $15.7 billion, which was down from $19.7 billion in April.

Fannie Mae reported modest portfolio growth in May of $3.4 billion, or 5.8% to $733.8 billion. In April, the GSE experienced 15.7% growth. Year-to-date, the portfolio growth is running at 2.1%. The GSE also reported that its mortgage portfolio assets for purposes of the Office of Federal Housing Enterprise Oversight consent agreement were approximately $724 billion. Fannie Mae reported purchases of $18.7 billion in May, down from $23.0 billion in April. Purchases were offset by liquidations of $11.7 billion, which was similar to the previous month. The summary showed net retained commitments in May were $12.1 billion, down from $17.4 billion in April.

Within the retained portfolio, purchases of Freddie Mac securities continued to increase - up $2 billion from April - to $374.7 billion, while the non-agency portion, declined nearly $2.5 billion to $238.1 billion. Holdings of FNMA securities also rose $2 billion to $333 billion. As a percentage of the portfolio, FNMA securities represent 46.0%. Nearly 52% of Freddie's portfolio is in FHLMC Gold securities.

Freddie Mac reported their delinquencies on non-credit enhanced single-family loans continued to improve in April, declining to 24 basis points from 25 basis points in March, and down from 30 basis points recorded in December 2005 and January 2006. Delinquencies (90-days or more) for Fannie's portfolio also continued to move lower to 64 basis points in April, from 67 basis points in March.

Both Freddie Mac and Fannie Mae reported their respective duration gaps at zero months for May.

(c) 2006 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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