* 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"
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)
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
Mark Fontanilla & Co., LLC
255 W MLK Blvd Ste. 2402
Charlotte, NC 28202