The majority of Active Galactic Nuclei (AGN) observed by XMM-Newton reveal narrow Fe K-alpha lines at ~ 6.4 keV, due to emission from cold (neutral) material. There is an X-ray Baldwin effect in Type I AGN, in that the equivalent width of the line decreases with increasing luminosity, with weighted linear regression giving EW ~ L^{-0.17+/-0.08} (Spearman Rank probability of > 99.9%). With current instrumental capabilities it is not possible to determine the precise origin for the narrow line, with both the Broad Line Region and putative molecular torus being possibilities. A possible explanation for the X-ray Baldwin effect is a decrease in covering factor of the material forming the fluorescence line.