Fannie’s holdings fall

03-23-06 09:29 AM EST NEW YORK -(Dow Jones)- Fannie Mae (FNM) said Thursday its gross mortgage holdings fell to $720.81 billion in February from $725.29 billion in January, for an annualized rate of decline of 7.2%.

In the first two months of the year, the portfolio declined at an annualized rate of 5.1%, compared with a decline of 19.6% for all of 2005.

Fannie purchased $11.4 billion of mortgage bonds, but these were offset by $ 10.8 billion of securities that matured or were paid off early and another $4.1 billion that it sold.

Retained commitments, an indication of future growth, were virtually unchanged in February at around $9 billion.

Fannie also said its average duration gap, a measure of interest rate sensitivity, was unchanged in February at zero months.