$68.6 B INVESTMENT PORTFOLIO AS OF MARCH 31, 2022 |
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30 Year – $62.6 B Portfolio (91% of Total) As of March 31, 2022 | ||||||
---|---|---|---|---|---|---|
($ MM) Coupon |
FMV | % | Specified Pool % ![]() |
WALA ![]() |
Apr ‘22 1 M Actual CPR ![]() |
Life Forecast CPR ![]() |
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 % ![]() |
WALA ![]() |
Apr ‘22 1 M Actual CPR ![]() |
Life Forecast CPR ![]() |
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 |