$81.1 B INVESTMENT PORTFOLIO AS OF SEPTEMBER 30, 2018
  • 30 Yr Fixed $67.0 B, 82%
  • ≤15 Yr Fixed $11.5 B, 14%
  • CMO & ARM $1.0 B, 1%
  • 20 Yr Fixed $0.8 B, 1%
  • CRT & Non-Agency $1.5 B 2%
30 Year – $67.0 B Portfolio (82% of Total) As of September 30, 2018
($ MM)
Coupon
FMV % % LB /
HARP star-img
WALA star-img Oct ‘18
1 M Actual
CPR star-img
Life
Forecast
CPR star-img
≤ 3.0% $2,486 4% 4% 47 5% 5%
3.5% 24,459 37% 54% 36 7% 6%
4% 27,336 41% 66% 26 7% 7%
≥ 4.5% 7,942 12% 84% 18 6% 7%
30 Year MBS 66,223 93% 61% 30 7% 6%
Net Long TBA 4,739 7% N/A N/A N/A N/A
Total 30 Year $66,962 100% 57% N/A N/A N/A
≤15 Year – $11.5 B Portfolio (14% of Total) As of September 30, 2018
($ MM)
Coupon
FMV % % LB /
HARP star-img
WALA star-img Oct ‘18
1 M Actual
CPR star-img
Life
Forecast
CPR star-img
≤ 2.5% $1,189 10% 68% 71 10% 9%
3.0% 2,158 19% 74% 54 8% 9%
3.5% 1,997 17% 95% 32 8% 9%
≥ 4.0% 1,486 13% 79% 52 10% 10%
≤ 15 Year MBS 6,830 59% 80% 50 9% 9%
Net Long TBA 4,654 41% N/A N/A N/A N/A
Total ≤ 15 Year $11,484 100% 48% N/A N/A N/A