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

January 2022 Month-End CRTx® Index Rebalancing Update

December 2021 Month-End CRTx® Index Rebalancing Update

November 2021 Month-End CRTx® Index Rebalancing Update

October 2021 Month-End CRTx® Index Rebalancing Update

September 2021 Month-End CRTx® Index Rebalancing Update

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UPCOMING

MF&Co Chief Strategist Mark Fontanilla to speak at:

SCI's 6th Annual Risk Transfer & Synthetics Seminar

27 April 2022, New York (In-Person Event)

Conference Panel: Mortgage Risk Transfer

The GSE credit risk transfer market has been subject to a great many changes lately. This panel looks at the Enterprise Regulatory Capital Framework, the amendments to it, and what it all means for capital treatment of CRT transactions. It also examines blossoming new issue volume, changes in the mandate of the FHFA and latest developments in the mortgage insurance linked note market.

IMN's 6th Annual Investor's Conference on U.S. Risk Transfer

05 May 2022, New York (In-Person Event)

Conference Panel: Macroeconomics and Risk Transfer Market Overview

  • Macroeconomic and Geopolitical risk factors, and their effect on the USK Risk Transfer market; War, Inflation, Rate Hikes, Pandemic Recovery, Supply Chain and Labor Pressure

  • Review of 2021 and 22H1 performance and a 22H2 forecast – Outlook for issuance and performance per sector and geography

  • Market technical and fundamental trends

  • Credit performance trends and relative value for Risk Transfer

  • U.S. banks use of risk transfer (methods, structures) to address their capital requirements

Advanced Market Intelligence, Insights, and Strategies

Providing Comprehensive Strategic Consulting and Advisory Services To The Markets

LATEST CRTx® Index Rebalancing Metrics (5/2/2022)

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CRTx® Index Basket: April 2022  Factor Updates (4/25/2022)

  • CRTx® AGG principal paydown percentage was 1.68% of April basket UPB, vs 1.78% in March:

    • $ 855 million in paydowns

    • $ 182 million in coupon payments

  • -1.9bps to Apr. CRTx® AGG total return due to paydowns.

  • Class C/Es steady to modestly higher.

  • Aggregate 1st-loss B-piece realized write-downs/shortfalls . total return hit -2.4bps.

  • Apr. factor speeds slower for CAS, steady to slightly higher for STACR (overall range ~mid teens to 30ish CPRs).

  • Total DQ%s and 180+ DQ #/$ continue to decline.

  • 25 reference pool groups continued to fail their DQ Test in April, down 5 vs. 30 in Mar.

 

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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