Our portfolio investments are primarily comprised of agency MBS, including agency residential pass-through certificates and collateralized mortgage obligations. We may also invest in other real estate related assets, including GSE credit risk transfer (“CRT”) securities, AAA non-agency securities, and commercial mortgage-backed securities.

As of December 31, 2018, our portfolio consisted of $91.6 billion in securities, including $82.7 billion in residential mortgage-backed securities and a $7.3 billion net long TBA position.
$91.6 B INVESTMENT PORTFOLIO AS OF DECEMBER 31, 2018
  • 30 Yr Fixed $77.3 B, 84%
  • ≤15 Yr Fixed $11.0 B, 12%
  • CMO & ARM $0.9 B, 1%
  • 20 Yr Fixed $0.8 B, 1%
  • CRT & Non-Agency $1.6 B 2%
30 Year – $77.3 B Portfolio (84% of Total) As of December 31, 2018
($ MM)
Coupon		 FMV % % LB /
HARP star-img		 WALA star-img Jan ‘19
1 M Actual
CPR star-img		 Life
Forecast
CPR star-img
≤ 3.0% $2,105 3% 4% 47 6% 6%
3.5% 25,473 33% 51% 38 6% 6%
4% 35,058 45% 52% 24 6% 8%
≥ 4.5% 11,049 14% 75% 16 6% 9%
30 Year MBS 78,685 95% 54% 28 6% 8%
Net Long TBA 3,649 5% N/A N/A N/A N/A
Total 30 Year $77,334 100% 52% N/A N/A N/A
≤15 Year – $11.0 B Portfolio (12% of Total) As of december 31, 2018
($ MM)
Coupon		 FMV % % LB /
HARP star-img		 WALA star-img Jan ‘19
1 M Actual
CPR star-img		 Life
Forecast
CPR star-img
≤ 2.5% $1,139 10% 68% 74 10% 9%
3.0% 2,084 19% 74% 56 8% 9%
3.5% 2,776 25% 66% 25 8% 10%
≥ 4.0% 1,295 12% 78% 51 9% 10%
≤ 15 Year MBS 7,294 67% 71% 46 9% 10%
Net Long TBA 3,673 33% N/A N/A N/A N/A
Total ≤ 15 Year $10,967 100% 47% N/A N/A N/A