Freddie Mac's Portfolio Continues to Contract

According to Freddie Mac's Monthly Volume Summary for March, the corporations' total mortgage portfolio decreased at an annualized rate of 2.9 percent in March compared to a decrease of 3.3 percent in February.  So far this year the portfolio has shrunk by 3.8 percent.  The volume of single-family refinance-loan purchase and guarantee volume was $34.9 billion representing 83 percent of the total mortgage portfolio.

The unpaid principal balance of the mortgage related investments portfolio at the end of the period was $618.3 billion compared to 627.3 billion at the end of February.  The portfolio is composed of $201.8 billion in PCs, REMICs, and other structured securities, down from $206.1 billion in February; $20.3 billion in Agency securities compared to $31.0 billion; $138.3 billion in non-Agency securities ($139.8 billion) and $248.0 billion in mortgage loans, down from $250.9 billion the previous month.  The total mortgage portfolio balance was 2.056 trillion compared to $2.061 trillion the month before.  The annualized growth of the total portfolio thus far in 2012 is -3.8 percent.

The measure of Freddie Mac's exposure to changes in portfolio market value (PMVS-L) averaged $233 million in March with a duration gap that averaged 0 months.

The single family seriously delinquent rate was 3.51 in March, down from 3.57 percent in February.  The rate for the non-credit enhanced portion of the portfolio was 2.90 percent and the credit enhanced rate was 8.02 percent.  Multi-family delinquencies increased from 0.21 percent to 0.23 percent.

Freddie Mac approved 4,308 loan modifications in March 2012 and 13,677 for the three months ended March 31, 2012.