June 2022 Month-End CRTx® Index Rebalancing Update

May 2022 Month-End CRTx® Index Rebalancing Update

MF&Co Chief Strategist Mark Fontanilla to speak at: IMN's 6th Annual Investor's Conference on U.S. Risk Transfer

April 2022 Month-End CRTx® Index Rebalancing Update

MF&Co Chief Strategist Mark Fontanilla to speak at: SCI's 6th Annual Risk Transfer & Synthetics Seminar

March 2022 Month-End CRTx® Index Rebalancing Update

MF&Co's Founder Mark Fontanilla appointed to IMN's 2022 U.S. Risk Transfer Advisory Board

February 2022 Month-End CRTx® Index Rebalancing Update

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UPDATES

MF&Co Introduces The RSKFREx™ Index Suite

Rolling Short-Term Key Funding Reference Index & Rate

The RSKFREx™ (Rolling Short-term Key Funding Reference Index) is a fixed income total return benchmarking suite that emulates recurring investment in a prevailing short-term 4-week U.S. Treasury Bill. The suite is comprised of the RSKFREx™ Index and the corresponding RSKFREx™ Rate. Both fluctuate directly with prevailing market rates, are settled daily, and rebalanced monthly to provide a realistic representation of the execution economics from “rolling” 4-week U.S. Treasury Bills, allowing for straightforward, practical, and highly flexible benchmarking of excess returns and/or funding costs.

Advanced Market Intelligence, Insights, and Strategies

Providing Comprehensive Strategic Consulting and Advisory Services To The Markets

LATEST CRTx® Index Rebalancing Metrics (7/1/2022)

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CRTx® Index Basket: June 2022  Factor Updates (6/27/2022)

  • CRTx® AGG principal paydown percentage was 4.70% of June basket UPB, vs 1.55% in May:

    • $ 2,569 million in paydowns/tenders

    • $ 233 million in coupon payments

  • +2.0bps to June CRTx® AGG total return due to paydowns/tenders.

  • Class C/Es stable to marginally higher.

  • Aggregate 1st-loss B-piece realized write-downs/shortfalls . total return hit -3.7bps.

  • June factor speeds slower for STACR (seasoned range ~low teens to low 20s CPRs).

  • Total DQ%s and 180+ DQ #/$ continued to fall, about high-single digits % MoM.

  • 20 reference pool groups continued to fail their DQ Test in June, down 2 vs. 22 in May.

  • LIBOR resets +62bps, SOFR resets +34bps.

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CONTACT INFO:

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Mark Fontanilla & Co., LLC

255 W MLK Blvd Ste. 2402

Charlotte, NC 28202

mark@markfontanilla.com

O: 704-405-0575

C: 201-213-7168

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