Fannie Mae's duration gap widened from zero in March to positive three months in April - its largest mismatch since August but well within its target range for the closely watched measure of interest rate risk.
A positive gap represents an expectation that assets will remain on the books longer than liabilities.
In its monthly volume summary, released Monday, the government-sponsored enterprise also said the shrinkage of its mortgage portfolio had continued to slow.
For seven months Fannie had kept its duration gap between positive one month and negative one month. Last summer the GSE vowed to keep the gap within six months of zero nearly all the time.
Fannie is comfortable with the recent widening, a spokeswoman said Monday. "Zero's not our objective."
Freddie Mac's duration gap, traditionally much tighter than Fannie's, did not exceed positive or negative one month in the 12 months through March. However, the two GSEs say they calculate the measures somewhat differently.
Jim Vogel, a senior vice president at FTN Financial Capital Markets, said the increase in Fannie Mae's gap was expected. It takes the GSEs a little bit longer to balance duration gaps when rates are volatile, he said, and rates rebounded in April after dropping in February and March.
A positive gap indicates a more favorable net interest margin, since shorter-term debt is cheaper.
The portfolio shrank to $880.5 billon in April. It was the seventh straight month of shrinkage, but the annual rate, which peaked at 14.6% in January, slowed to 0.6% in April and averaged 5.9% for the first four months of the year.
In fact, several analysts said the portfolio has probably started growing again. Prepayments probably slowed since the recent refi boomlet, they said, and on Monday Fannie disclosed commitments to buy $28.9 billion of assets.
It is "a distinct possibility" that Fannie's portfolio will be up at the end of this month, said Moshe Orenbuch, an analyst at Credit Suisse First Boston.
The Fed reported Thursday that holdings of MBS by large U.S. commercial banks have remained flat in recent weeks. Analysts said spreads between the yields on Fannie's debt and mortgage bonds widened slightly last month.
Also Monday, several stock analysts took the unusual step of attacking an article Barron's published over the weekend about Fannie's accounting.
The magazine said its analysis of the GSE's reporting methods found that they "obfuscate rather than illuminate Fannie's true financial condition." But the stock analysts called the report a rehash of misleading warnings.
Fannie also assailed it, saying it "misreports a number of facts that are a matter of public record and ... presents a one-sided opinion about some familiar, well-debated issues."
Fannie acknowledged that some figures it reports do not depict its activities accurately, but it said GAAP requires it to issue such figures. It makes further "voluminous" disclosures to present a fuller picture, it said.
