Fannie Mae reduced its Gross Mortgage Portfolio by $5.86 billion during July to $667 billion and is reducing that portfolio at a compound annualized rate of 9.9 percent compared to 10.2 percent for the entirety of 2011.  The portfolio stood at $708.4 billion on December 31, 2011.

The Gross Mortgage Portfolio contains $386.36 billion in mortgage loans, $13.71 billion in Non-Fannie Mae Agency Mortgage Securities and $69.26 billion in Non-Fannie Mae Non-Agency Mortgage Securities.

The Department of the Treasury revised its Preferred Stock Purchase Agreement (PSPA) with both Fannie Mae and Freddie Mac earlier this month and, among the changes, ramped up the pace at which the two government-sponsored enterprises (GSEs) must liquidate their portfolio.  Under the original agreement the portfolios were mandated to be reduced at an annual rate of 10 percent, reaching a target value of $250 billion by 2022; the new requirement is a 15 percent annual reduction with a new target date of 2018.

Fannie Mae's book of business increased at a compound annualized rate of 1.5 percent in July to $3.20 trillion compared to $3.18 trillion in June.  In addition to the gross mortgage portfolio this includes Total MBS and other guarantees of $2.72 trillion and MBS in Portfolio of $199.66 billion and reflects $77.1 billion in new business acquisitions during the month.

The total delinquency rate in the conventional single family portfolio was 3.50 percent compared to 3.53 percent in June and 4.08 percent in July, 2011.  The rate among non-credit enhanced loans was 2.84 percent compared to 2.86 percent in June and 3.14 percent a year earlier.  Among credit enhanced loans the rate was 7.76 percent, down from 7.86 percent month-over-month and 9.69 percent year-over-year.  The delinquency rate in the Multi-Family Portfolio was 0.26 percent, a drop of 3 basis points from June and 19 basis points from July, 2011.

The Effective Duration Gap on Fannie Mae's portfolio averaged zero months in July, unchanged from the previous 12 months.

During the month of July Fannie Mae completed 11,410 loan modifications bringing the total for 2012 to date to 93,413 modified loans.