$61.3 B INVESTMENT PORTFOLIO AS OF JUNE 30, 2022
  • 30 Yr Fixed $55.7 B, 91%
  • ≤15 Yr Fixed $1.9 B, 3%
  • CMO, ARM & Other $0.2 B, 0%
  • 20 Yr Fixed $1.6 B, 3%
  • CRT & Non-Agency $1.8 B, 3%

 

30 Year – $55.7 B Portfolio (91% of Total) As of June 30, 2022
($ MM)
Coupon
FMV % Specified
Pool % star-img
WALA star-img Jul ‘22
1 M Actual
CPR star-img
Life
Forecast
CPR star-img
2.0% $4,516 8% 6% 16 6% 5%
2.5% 5,685 10% 82% 12 6% 6%
3.0% 5,615 10% 52% 11 5% 5%
3.5% 10,347 19% 75% 60 11% 7%
4.0% 8,864 16% 89% 62 14% 8%
≥ 4.5% 4,899 9% 92% 50 16% 9%
30 Year MBS 39,926 72% 70% 40 10% 7%
Net TBA 15,789 28% N/A N/A N/A N/A
Total 30 Year $55,715 100% 50% N/A N/A N/A
≤15 Year – $1.9 B Portfolio (3% of Total) As of June 30, 2022
($ MM)
Coupon
FMV % Specified Pool % star-img WALA star-img Jul ‘22
1 M Actual
CPR star-img
Life
Forecast
CPR star-img
2.0% $46 2% 100% 19 9% 8%
2.5% 273 14% 100% 32 11% 10%
3.0% 581 30% 99% 54 12% 12%
3.5% 547 28% 100% 51 14% 14%
4.0% 392 20% 92% 55 17% 15%
≥ 4.5% 4 — % 97% 139 23% 19%
≤ 15 Year MBS 1,843 95% 98% 49 13% 13%
Net  TBA 104 5% N/A N/A N/A N/A
Total ≤ 15 Year $1,947 100% 93% N/A N/A N/A