$97.9 B INVESTMENT PORTFOLIO AS OF DECEMBER 31, 2020
  • 30 Yr Fixed $77.2 B, 79%
  • ≤15 Yr Fixed $16.5 B, 17%
  • CMO, ARM & Other $0.5 B, 1%
  • 20 Yr Fixed $2.5 B, 3%
  • CRT & Non-Agency $1.3 B, 1%

 

30 Year – $77.2 B Portfolio (79% of Total) As of December 31, 2020
($ MM)
Coupon
FMV % Specified
Pool % star-img
WALA star-img Jan ‘21
1 M Actual
CPR star-img
Life
Forecast
CPR star-img
2.0% $4,149 5% — % — % 11%
2.5% 6,170 8% 6% 4 5% 16%
3.0% 3,156 4% 20% 33 38% 22%
3.5% 14,020 18% 89% 66 28% 17%
4.0% 15,734 20% 92% 52 35% 19%
≥ 4.5% 9,434 12% 98% 38 33% 21%
30 Year MBS 52,663 68% 71% 42 30% 18%
Net Long TBA 24,499 32% N/A N/A N/A N/A
Total 30 Year $77,162 100% 48% N/A N/A N/A
≤15 Year – $16.5 B Portfolio (17% of Total) As of December 31, 2020
($ MM)
Coupon
FMV % Specified Pool % star-img WALA star-img Jan ‘21
1 M Actual
CPR star-img
Life
Forecast
CPR star-img
1.5% $1,306 8% — % 1 4% 13%
2.0% 4,089 25% — % 2 4% 15%
2.5% 632 4% 78% 13 14% 15%
3.0% 1,248 8% 94% 44 22% 16%
3.5% 1,356 8% 100% 40 24% 18%
≥ 4.0% 851 5% 92% 47 29% 19%
≤ 15 Year MBS 9,482 58% 40% 17 14% 16%
Net Long TBA 6,980 42% N/A N/A N/A N/A
Total ≤ 15 Year $16,462 100% 23% N/A N/A N/A