Freddie Mac came out with its February monthly volume summary report last week. The GSE reported that its net retained portfolio grew an annualized 5.1% to $709.2 billion in February. This compares with a gain of 4.4% in January. Year-to-date, portfolio growth is running at 4.7%.

The firm's purchases totaled $19.8 billion, while sales and liquidations were $16.8 billion, resulting in a net increase of nearly $3.0 billion from January. Net purchase agreements declined to just under $15 billion, down from $18.1 billion in January.

Holdings of Freddie Mac's own securities increased $4.7 billion to $362.3 billion, and represent 51.1% of the portfolio. Non-Freddie Mac mortgage-related agency holdings were little changed at $45.1 billion, while nonagency holdings declined $1.5 billion to $235.8 billion. Combined non-Freddie Mac mortgage-related holdings represent 39.6%. Finally, mortgage loan holdings were steady at $66 billion, making up 9.3% of the portfolio.

Issuance of PCs and structured securities were $39 billion versus $371 billion in January. Net issuance was $21.1 billion, up from $18.7 billion previously. Non-credit-enhanced, single-family delinquencies (90 days or more) were 25 basis points in January, unchanged from December. Duration gap was unchanged at zero months.

(c) 2007 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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