Freddie Mac reported in its monthly volume summary report for December, which was released last Tuesday morning, that its retained portfolio slipped 1.2% after holding steady in November. The retained portfolio ended the year at $703.6 billion, down from $710.0 billion in 2005.

Net mortgage purchase agreements rose to $14.3 billion from $10.1 billion. For 2006, these agreements totaled $182.6 billion compared to $232.7 billion in the previous year.

Retained purchases declined slightly in December to $17.4 billion from $18.0 billion while sales remained flat at $2.6 billion. Liquidations also did not change much from the previous month at $15.5 billion.

Within the retained portfolio, holdings of Freddie Mac PCs and structured securities fell nearly $4 billion to $354.3 billion.

Meanwhile, non-agency securities holdings increased $2.9 billion to $238.1 billion. On a percentage basis, holdings between Freddie Mac securities and non-FHLMC mortgage-related securities are almost even at 50.3% and 49.7%, respectively.

Issuance of PCs and structured securities totaled $32.7 billion in December bringing year-to-date issuance to $360.0 billion compared with $397.9 billion in 2005. After liquidations, net issuance for 2006 was $141.5 billion versus $126.6 billion for 2005.

There was a slight one basis point deterioration in single-family non-credit enhanced delinquencies in November at 24 basis points from 23 basis points in October. Finally, the agency's duration gap remained unchanged at 0 months.

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

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