$93.0 B INVESTMENT PORTFOLIO AS OF MARCH 31, 2020
  • 30 Yr Fixed $84.1 B, 90%
  • ≤15 Yr Fixed $5.9 B, 6%
  • CMO, ARM & Other $0.7 B, 1%
  • 20 Yr Fixed $1.1 B, 1%
  • CRT & Non-Agency $1.1 B, 1%
30 Year – $84.1 B Portfolio (90% of Total) As of March 31, 2020
($ MM)
Coupon
FMV % Specified
Pool % star-img
WALA star-img Apr ‘20
1 M Actual
CPR star-img
Life
Forecast
CPR star-img
≤ 3.0% $5,531 7% 15% 22 7% 16%
3.5% 18,626 22% 88% 56 14% 12%
4% 25,777 31% 91% 42 19% 15%
≥ 4.5% 13,001 15% 98% 28 23% 17%
30 Year MBS 62,935 75% 85% 41 17% 14%
Net Long TBA 21,118 25% N/A N/A N/A N/A
Total 30 Year $84,053 100% 64% N/A N/A N/A
≤15 Year – $5.9 B Portfolio (6% of Total) As of march 31, 2020
($ MM)
Coupon
FMV % Specified Pool % star-img WALA star-img Apr ‘20
1 M Actual
CPR star-img
Life
Forecast
CPR star-img
≤ 2.5% $893 15% 75% 89 12% 13%
3.0% 2,048 35% 92% 51 11% 12%
3.5% 1,770 30% 93% 29 17% 13%
≥ 4.0% 1,119 19% 91% 38 22% 14%
≤ 15 Year MBS 5,830 98% 90% 48 15% 13%
Net Long TBA 104 2% N/A N/A N/A N/A
Total ≤ 15 Year $5,934 100% 88% N/A N/A N/A