CRTx® Daily Return Summary *
CRTx® Daily Return Summary *
May 2021 Month-End CRTx® Index Rebalancing Update
April 2021 Month-End CRTx® Index Rebalancing Update
SCI 5th Annual Risk Transfer & Synthetics Seminar
March 2021 Month-End CRTx ® Index Rebalancing Update
MF&Co In The News: Structured Credit Investor
MF&Co In The News: DebtWire "ABS In Mind"
February 2021 Month-End CRTx® Index Rebalancing Update
SCI's 2nd Annual Middle Market CLO Seminar 2021
* MF & Co Named SCI Capital Relief Trades Awards 2020 Winner:
ANALYTICS FIRM OF THE YEAR
UPCOMING: MF&Co Chief Strategist Mark Fontanilla to speak at
IMN's THE VIRTUAL INVESTORS' CONFERENCE ON RISK TRANSFER
Conference Panel: "CRT Trading and Analytics"
Thursday 6/17/2021
2:30pm EST
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Tools for analyzing CRT transaction profitability
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How has CRT performed throught the COVID - 19 crisis?
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Predicting the impact of payment moratoriums ending
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Is the CRT benchmark market displaying higher volatility? How has performance developed in the last 12 months?
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Relative value on seasoned deals and new issuances: Investment grade, spread differentiations
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Secondary market liquidity
Advanced Market Intelligence, Insights, and Strategies
Providing Comprehensive Strategic Consulting and Advisory Services To The Markets
LATEST CRTx® Index Rebalancing Metrics (6/1/2021)
CRTx® Index Basket: May 2021 Factor Updates (5/25/2021)
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May CRTx® AGG paydown percentage (2.22%) 12% lower vs April (2.52%):
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Total Index/Sector Paydowns for May: $1.06 Billion
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Class C/Es stable to improved MoM, on average flat to up 5%.
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Both tranche and reference pool realized write-downs/shortfalls are still nominal (1st loss pieces only -2bps).
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May factor speeds down for STACR (low/mid 40s CPR avg).
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Total DQs slightly lower: early stage modestly lower, 180+ DQs % and count lower sector-wide.
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MAY MTD CRTx® INDEX PAYDOWN RETURN ATTRIBUTION: -1.9 bps
CONTACT INFO:
Mark Fontanilla & Co., LLC
255 W MLK Blvd Ste. 2402
Charlotte, NC 28202
O: 704-405-0575
C: 201-213-7168