July 2020 Month-End CRTx® Index Rebalancing Update

After a remarkable +27% rebound in Q2, the CRTx® Aggregate Index started Q3 modestly down, posting a -0.39% total return for July. Benchmark CRT has not quite recovered its Q1 declines and sits at -4.51% YTD, still lagging other major markets, including rates, IG, and HY, which all rallied last month, and are all now positive for the year.

MF&Co's Mark Fontanilla To Speak at IMN's RMBS Sector Virtual Series: COVID-19: A True Test to the Functionality of CRT

MF&Co's Mark Fontanilla is slated to speak alongside other industry experts at IMN's RMBS Sector Virtual Series: COVID-19: A True Test to the Functionality of CRT. Topics covered will include:

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• Do non-agencies/servicers have enough liquidity to support forbearance and modification of GSEs and other expected CRT programs?

• Delinquency triggers for GSEs: What will happen if there is a spike in delinquencies? Will structures perform?

• Long term projections: Is trading based on liquidity performance or value of the securities?

• Evaluation of secondary market liquidity

• What does CRT recovery look like? How will borrowers re perform on the back end of this pandemic?

June 2020 Month-End CRTx® Index Rebalancing Update

The CRTx® Aggregate Index closed out Q2 strongly, gaining 9.04% in June, and finishing the quarter up 27.16%. The Index had been down over 25% YTD at the end of Q1 during the beginning of the COVID-19 market fallout, but now sits down “only” 4.13% YTD at the end of  Q2. June/Q2 CRT returns beat all other major fixed income sectors, but benchmark CRT still lags YTD as both CRT and HY remain negative.

May 2020 Month-End CRTx® Index Rebalancing Update

CRTx® Aggregate Index continued to regain lost ground in May, returning 7.03% for the month, following the 8.97% rebound in April. QTD, the CRTx® is up 16.62%, beating most other major fixed incomes sectors, including HY’s nearly 10% 2nd quarter comeback so far. However, YTD, the CRT market still lags with a COVID-19 influenced -12.08% total return, while most other rates and credit sectors (except HY) are positive for 2020. 2018-2020 LMEZZ and SUBs led the way, while the earliest fixed severity tranches lost more ground.

WSJ: Fannie and Freddie's Capital Dilemma (references to MF&Co's CRTx® Index and Chief Strategist Mark Fontanilla)

WSJ 5/27/2020 - Fannie and Freddie’s Capital Dilemma: "A new proposal would give the mortgage firms a sizable capital cushion to protect taxpayers but could complicate their potential public offerings" (including quotes from MF&Co's Chief Strategist Mark Fontanilla and a reference to the CRTx® Index.