$97.9 B INVESTMENT PORTFOLIO AS OF DECEMBER 31, 2020 |
---|
30 Year – $77.2 B Portfolio (79% of Total) As of December 31, 2020 | ||||||
---|---|---|---|---|---|---|
($ MM) Coupon |
FMV | % | Specified Pool % ![]() |
WALA ![]() |
Jan ‘21 1 M Actual CPR ![]() |
Life Forecast CPR ![]() |
2.0% | $4,149 | 5% | — % | — | — % | 11% |
2.5% | 6,170 | 8% | 6% | 4 | 5% | 16% |
3.0% | 3,156 | 4% | 20% | 33 | 38% | 22% |
3.5% | 14,020 | 18% | 89% | 66 | 28% | 17% |
4.0% | 15,734 | 20% | 92% | 52 | 35% | 19% |
≥ 4.5% | 9,434 | 12% | 98% | 38 | 33% | 21% |
30 Year MBS | 52,663 | 68% | 71% | 42 | 30% | 18% |
Net Long TBA | 24,499 | 32% | N/A | N/A | N/A | N/A |
Total 30 Year | $77,162 | 100% | 48% | N/A | N/A | N/A |
≤15 Year – $16.5 B Portfolio (17% of Total) As of December 31, 2020 | ||||||
---|---|---|---|---|---|---|
($ MM) Coupon |
FMV | % | Specified Pool % ![]() |
WALA ![]() |
Jan ‘21 1 M Actual CPR ![]() |
Life Forecast CPR ![]() |
1.5% | $1,306 | 8% | — % | 1 | 4% | 13% |
2.0% | 4,089 | 25% | — % | 2 | 4% | 15% |
2.5% | 632 | 4% | 78% | 13 | 14% | 15% |
3.0% | 1,248 | 8% | 94% | 44 | 22% | 16% |
3.5% | 1,356 | 8% | 100% | 40 | 24% | 18% |
≥ 4.0% | 851 | 5% | 92% | 47 | 29% | 19% |
≤ 15 Year MBS | 9,482 | 58% | 40% | 17 | 14% | 16% |
Net Long TBA | 6,980 | 42% | N/A | N/A | N/A | N/A |
Total ≤ 15 Year | $16,462 | 100% | 23% | N/A | N/A | N/A |