* MF & Co Named SCI Capital Relief Trades Awards 2020 Winner:
ANALYTICS FIRM OF THE YEAR
UPCOMING: SCI's 5th Annual Risk Transfer & Synthetics Seminar
4/21/2021-4/22/2021
MF&Co Workshop Session
Wednesday 4/21/2021
11:00am EST
"What a difference a year makes: Mortgage CRT in the time of COVID"
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Volatility strikes twice - a comprehensive total return account
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Mortgage credit stars align - losses, speeds, and structures vs. the financial crisis
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Latest investor risk/reward proposition - key metrics and comparisons
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Technicals and the yin-yang of investors and issuers
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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)
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April CRTx® AGG paydown percentage (2.52%) 15% higher vs March (1.97%):
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Total Index/Sector Paydowns for April: $1.2 Billion
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Class C/Es continued to incrementally improve MoM, on average up 5%+.
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Both tranche and reference pool realized write-downs/shortfalls are still nominal, actually lower MoM.
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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).
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Total DQs slightly lower: early stage modestly lower, 180+ DQs flattish/marginally lower (based on STACR reporting).
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APRIL MTD CRTx® INDEX PAYDOWN RETURN ATTRIBUTION: -1.3 bps
CONTACT INFO:
Mark Fontanilla & Co., LLC
255 W MLK Blvd Ste. 2402
Charlotte, NC 28202
O: 704-405-0575
C: 201-213-7168