MARK FONTANILLA & Co., LLC

September 2020 Month-End CRTx® Index Rebalancing Update

The CRTx® Aggregate Index ended September up 1.11% for the month, outpacing most other major fixed income sectors. For Q3, the Index gained 2.41%, lagging only HY for the quarter. September’s CRT market values were modestly improved as volatility remained lower and the latest reference pool credit performances came in largely contained, albeit at persistently elevated levels. With the latest STACR 2020-HQA4 deal printing, the CRTx® October basket will start out at $44.87 billion, net little changed from September’s constituency.

August 2020 Month-End CRTx® Index Rebalancing Update

The CRTx® Aggregate Index posted a solid 1.69% total return in August, recouping July’s  -0.39% decline and then some. Index gains were led primarily by a surge in the earliest-vintage fixed severity deals, and overall firmer spreads for Lower Mezzanines across the board. CRT outperformed the major fixed income sectors for the month as the curve bear-steepened, but CRT sits at -2.89% YTD, still well behind rates and IG/HY for 2020 so far.

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.