After gaining in March, both Fannie Mae and Freddie Mac reported declines in their retained portfolios for April. Fannie Mae's portfolio fell 3.7% to $710.6 billion, while rival Freddie Mac's dipped 8.8% to $709.2 billion. In April, Fannie Mae rose 1.1% while Freddie Mac's portfolio was up 8.4%, which brought Freddie Mac's ending portfolio balance to above Fannie Mae's ($714.5 billion versus $712.8 billion). Year-to-date, the compounded growth rate is running at negative 5.6% for Fannie Mae and positive 2.2% for Freddie Mac.

In terms of net retained purchases, Fannie Mae's purchases were just under $10 billion compared with $16.5 billion previously. Meanwhile, the company's sales were lower at $2.1 billion versus $5.5 billion in March. Liquidations were steady at $10.1 billion. Net retained commitments fell to $11.9 billion in April, down from $14.1 billion.

Fannie Mae MBS that is in the portfolio totaled $275.3 billion, down $2.5 billion from March. As a percent of the portfolio, FNMA mortgage-backeds represent 38.7%. The GSE had a slight increase in its mortgage loan holdings ($1 billion), while agency/non-agency non-Fannie Mae mortgage securities remained almost the same at $30.9 billion and $118.2 billion. As a percent of the portfolio, this group makes up 61.3%. The agency's issuance totaled $45.8 billion, down slightly from $48.8 billion in March. After liquidations, net issuance was $15.7 billion. Delinquencies on non-credit-enhanced loans declined to 35 bps in March from 38 bps in February. The duration gap returned to 0 months from negative one month.

Net retained purchases fell $7.6 billion to $13.8 billion in April. Sales were up slightly to $5.3 billion versus $4.4 billion, as were liquidations at $13.7 billion versus $12 billion. Net retained commitments were $14.7 billion in April compared with $15.4 billion in March. Freddie Mac MBS in the portfolio declined $7 billion to $351.8 billion. The agency's MBS represent 49.6%. Non-Freddie Mac mortgage-related securities rose $2 billion, while mortgage loans remained almost the same from March. As a percentage, these holdings make up 50.4% of Freddie Mac's portfolio. The GSE's issuance in April was $35.3 billion, down from $38.7 billion. Net issuance was $15.7 billion. Delinquencies fell one basis point to 25 basis points in March. The duration gap remained at 0 months.

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

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