$90.3 B INVESTMENT PORTFOLIO AS OF MARCH 31, 2021
  • 30 Yr Fixed $72.2 B, 80%
  • ≤15 Yr Fixed $13.1 B, 15%
  • CMO, ARM & Other $0.4 B, 0%
  • 20 Yr Fixed $2.6 B, 3%
  • CRT & Non-Agency $1.9 B, 2%

 

30 Year – $72.2 B Portfolio (80% of Total) As of March 31, 2021
($ MM)
Coupon
FMV % Specified
Pool % star-img
WALA star-img Apr ‘21
1 M Actual
CPR star-img
Life
Forecast
CPR star-img
2.0% $3,251 5% 3% 1 3% 6%
2.5% 4,675 6% 5% 7 20% 8%
3.0% 2,749 4% 21% 36 49% 10%
3.5% 12,120 17% 90% 70 33% 11%
4.0% 13,852 19% 92% 56 39% 13%
≥ 4.5% 8,379 12% 98% 42 38% 15%
30 Year MBS 45,026 62% 73% 46 35% 12%
Net Long TBA 27,137 38% N/A N/A N/A N/A
Total 30 Year $72,163 100% 45% N/A N/A N/A
≤15 Year – $13.1 B Portfolio (15% of Total) As of March 31, 2021
($ MM)
Coupon
FMV % Specified Pool % star-img WALA star-img Apr ‘21
1 M Actual
CPR star-img
Life
Forecast
CPR star-img
1.5% $1,428 11% — % 4 7% 10%
2.0% 10,492 80% 1% 3 6% 9%
2.5% 466 4% 100% 17 13% 11%
3.0% 1,153 9% 94% 47 23% 14%
3.5% 1,240 9% 100% 43 29% 16%
≥ 4.0% 690 5% 91% 42 32% 17%
≤ 15 Year MBS 15,469 118% 23% 11 11% 11%
Net Long TBA (2,358) (18)% N/A N/A N/A N/A
Total ≤ 15 Year $13,111 100% 27% N/A N/A N/A