$104.4 B INVESTMENT PORTFOLIO AS OF JUNE 30, 2019
  • 30 Yr Fixed $90.7 B, 87%
  • ≤15 Yr Fixed $10.3 B, 10%
  • CMO, ARM & Other $0.9 B, 1%
  • 20 Yr Fixed $0.8 B, 1%
  • CRT & Non-Agency $1.7 B, 1%
30 Year – $90.7 B Portfolio (87% of Total) As of JUNE 30, 2019
($ MM)
Coupon
FMV % Specified
Pool % star-img
WALA star-img Jul ‘19
1 M Actual
CPR star-img
Life
Forecast
CPR star-img
≤ 3.0% $2,083 2% 5% 53 9% 7%
3.5% 28,747 32% 54% 39 10% 11%
4% 36,980 41% 70% 29 12% 13%
≥ 4.5% 14,904 16% 95% 19 10% 13%
30 Year MBS 82,714 91% 67% 31 11% 12%
Net Long TBA 7,968 9% N/A N/A N/A N/A
Total 30 Year $90,682 100% 62% N/A N/A N/A
≤15 Year – $10.3 B Portfolio (10% of Total) As of JUNE 30, 2019
($ MM)
Coupon
FMV % Specified Pool % star-img WALA star-img Jul ‘19
1 M Actual
CPR star-img
Life
Forecast
CPR star-img
≤ 2.5% $1,045 10% 75% 80 11% 10%
3.0% 1,934 19% 96% 61 12% 10%
3.5% 2,837 27% 55% 17 11% 16%
≥ 4.0% 1,336 13% 91% 30 14% 14%
≤ 15 Year MBS 7,152 69% 76% 41 12% 13%
Net Long TBA 3,202 31% N/A N/A N/A N/A
Total ≤ 15 Year $10,354 100% 52% N/A N/A N/A