* MF & Co Named SCI Capital Relief Trades Awards 2020 Winner:
ANALYTICS FIRM OF THE YEAR
UPCOMING: SCI's 5th Annual Risk Transfer & Synthetics Seminar
MF&Co Workshop Session
"What a difference a year makes: Mortgage CRT in the time of COVID"
Volatility strikes twice - a comprehensive total return account
Mortgage credit stars align - losses, speeds, and structures vs. the financial crisis
Latest investor risk/reward proposition - key metrics and comparisons
Technicals and the yin-yang of investors and issuers
Strategy ideas at this point in the cycle
Advanced Market Intelligence, Insights, and Strategies
Providing Comprehensive Strategic Consulting and Advisory Services To The Markets
LATEST CRTx® Index Rebalancing Metrics (5/3/2021)
CRTx® Index Basket: April 2021 Factor Updates (4/26/2021)
April CRTx® AGG paydown percentage (2.52%) 15% higher vs March (1.97%):
Total Index/Sector Paydowns for April: $1.2 Billion
Class C/Es continued to incrementally improve MoM, on average up 5%+.
Both tranche and reference pool realized write-downs/shortfalls are still nominal, actually lower MoM.
April factor speeds up for STACR (high 40s/low 50s CPR range), up but less so for CAS (CAS reporting period 1mth lagged vs STACR).
Total DQs slightly lower: early stage modestly lower, 180+ DQs flattish/marginally lower (based on STACR reporting).
APRIL MTD CRTx® INDEX PAYDOWN RETURN ATTRIBUTION: -1.3 bps
Mark Fontanilla & Co., LLC
255 W MLK Blvd Ste. 2402
Charlotte, NC 28202