May 2021 Month-End CRTx® Index Rebalancing Update

April 2021 Month-End CRTx® Index Rebalancing Update

SCI 5th Annual Risk Transfer & Synthetics Seminar

March 2021 Month-End CRTx ® Index Rebalancing Update

MF&Co In The News: Structured Credit Investor

MF&Co In The News: DebtWire "ABS In Mind"

February 2021 Month-End CRTx® Index Rebalancing Update

SCI's 2nd Annual Middle Market CLO Seminar 2021

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* MF & Co Named SCI Capital Relief Trades Awards 2020 Winner:

ANALYTICS FIRM OF THE YEAR

UPCOMING: MF&Co Chief Strategist Mark Fontanilla to speak at

IMN's THE VIRTUAL INVESTORS' CONFERENCE ON RISK TRANSFER

Conference Panel: "CRT Trading and Analytics"

Thursday 6/17/2021

2:30pm EST

  • Tools for analyzing CRT transaction profitability

  • How has CRT performed throught the COVID - 19 crisis?

  • Predicting the impact of payment moratoriums ending

  • Is the CRT benchmark market displaying higher volatility? How has performance developed in the last 12 months?

  • Relative value on seasoned deals and new issuances: Investment grade, spread differentiations

  • Secondary market liquidity

Advanced Market Intelligence, Insights, and Strategies

Providing Comprehensive Strategic Consulting and Advisory Services To The Markets

LATEST CRTx® Index Rebalancing Metrics (6/1/2021)

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CRTx® Index Basket: May 2021 Factor Updates (5/25/2021)

  • May CRTx® AGG paydown percentage (2.22%) 12% lower vs April (2.52%):

    • Total Index/Sector Paydowns for May: $1.06 Billion

  • Class C/Es stable to improved MoM, on average flat to up 5%.

  • Both tranche and reference pool realized write-downs/shortfalls are still nominal (1st loss pieces only -2bps).

  • May factor speeds down for STACR (low/mid 40s CPR avg).

  • Total DQs slightly lower: early stage modestly lower, 180+ DQs % and count lower sector-wide.

  • MAY MTD CRTx® INDEX PAYDOWN RETURN ATTRIBUTION: -1.9 bps

 

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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