$68.6 B INVESTMENT PORTFOLIO AS OF MARCH 31, 2022
  • 30 Yr Fixed $62.6 B, 91%
  • ≤15 Yr Fixed $2.4 B, 3%
  • CMO, ARM & Other $0.3 B, 0%
  • 20 Yr Fixed $1.7 B, 3%
  • CRT & Non-Agency $1.7 B, 2%

 

30 Year – $62.6 B Portfolio (91% of Total) As of March 31, 2022
($ MM)
Coupon
FMV % Specified
Pool % star-img
WALA star-img Apr ‘22
1 M Actual
CPR star-img
Life
Forecast
CPR star-img
2.0% $8,872 14% 4% 11 6% 5%
2.5% 8,857 14% 87% 9 5% 5%
3.0% 4,724 8% 67% 13 6% 6%
3.5% 7,960 13% 92% 82 18% 9%
4.0% 8,346 13% 93% 69 25% 10%
≥ 4.5% 4,493 7% 97% 56 28% 11%
30 Year MBS 43,252 69% 71% 39 14% 8%
Net TBA 19,301 31% N/A N/A N/A N/A
Total 30 Year $62,553 100% 49% N/A N/A N/A
≤15 Year – $2.4 B Portfolio (3% of Total) As of March 31, 2022
($ MM)
Coupon
FMV % Specified Pool % star-img WALA star-img Apr ‘22
1 M Actual
CPR star-img
Life
Forecast
CPR star-img
2.0% $51 2% 100% 16 19% 10%
2.5% 295 12% 100% 30 12% 12%
3.0% 635 27% 99% 51 18% 14%
3.5% 707 30% 100% 52 20% 16%
4.0% 436 18% 92% 52 25% 17%
≥ 4.5% 4 — % 97% 136 37% 22%
≤ 15 Year MBS 2,128 90% 98% 48 19% 15%
Net  TBA 242 10% N/A N/A N/A N/A
Total ≤ 15 Year $2,370 100% 88% N/A N/A N/A