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MF&Co's Founder Mark Fontanilla appointed to the new IMN MBS Forum 2024's advisory board

Latest 2024-02-01 SCI/MF&Co SRTx™ (Significant Risk Transfer Index) Fixings

MF&Co Chief Strategist Mark Fontanilla to speak at: SCI's 8th Annual Risk Transfer & Synthetics Seminar

January 2024 Month-End CRTx® Index Rebalancing Update

December 2023 Month-End CRTx® Index Rebalancing Update

November 2023 Month-End CRTx® Index Rebalancing Update

October 2023 Month-End CRTx® Index Rebalancing Update

September 2023 Month-End CRTx® Index Rebalancing Update

CRTx® and RSKFREx™ Index Suites Now on Refinitiv

The CRTx® (Credit Risk Transfer Return Tracking Index) suite, including daily historical index levels, periodic returns, and month-end rebalancing risk/reward metrics, and the new RSKFREx™ Index and Rate suite, are now available on Refinitiv™ (a London Stock Exchange Group company) fixed income data products, including the Eikon terminal and the DataScope Select data delivery platform:

Market Musings

Add Recent Issues Down the Stack, Hold Seasoned Paper Amidst Steady, Supportive Backdrop (1/31/24)

Heading into February, sector relative value themes continue in the same vein as the beginning of the year: seasoned paper for risk/reward and scarcity value, newer issues relative to IG/HY, but with a few minor tweaks given the backdrop from the 4 Cs of fixed income relative value right now (we added a fourth C to last month’s commentary: conditions). (Read more here)

2024 Sector Outlook - From Asymmetric Reward to Asymmetric Risk (12/29/23)

When it comes to the 3 Cs of fixed income relative value – credit, convexity, and carry, the stars aligned for the benchmark GSE CRT market in 2023 to produce an all-time sector-record annual total return of 17.69%. For 2024, a repeat performance may not be likely as several key 2023 tailwinds at the least may stall out, or even possibly become headwinds, which would bring returns for 2024 back down towards more earthly levels. (Read more here)

Floater Coupons On Fed Watch (11/30/23)

Fed tightening has certainly helped floaters since March of last year. SOFR has gotten stuck within a few-bps range following every hike, and it hasn’t moved much from the 5.30%-ish level since the last Fed Funds raise in July. With the current economic backdrop at this point in the cycle, the risk of Fed cut/hold/raise is much more biased towards cut/hold as the inflation rate has tempered, but not necessarily to the Fed’s 2% target yet. Historically, the Fed has hiked to stave off inflation, cut to counter declining growth. The latest resilient GDP numbers would likely keep the Fed holding steady, but as soon as that changes and dips appear, historically unemployment and rates follow…











FNMA’s CAS Hits 10-Year Mark With Solid Returns (10/31/23)

October saw FNMA’s CAS 2013-C01, the first CAS deal ever issued, mature which marked the 10-year anniversary of the CAS GSE CRT program. For a decade, the CAS program, along FHLMC’s STACR, provided a new, but now-mature, mortgage credit option for bond investors. Since the 1st 2013 deal, CAS issuance has seen 57 benchmark LLTV/HLTV deals totaling ~$62B, referencing ~$2.0T in loans. Based on the CAS sub-index of the CRTx® Aggregate Index, if you invested in CAS benchmark bonds starting in 2013, and rolled your returns forward, your total return would be ~83% per dollar invested (incl. tenders), or a 6.24% simple annualized rate, outpacing rates and IG/HY over the same period as higher yields have taken their toll.













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SCI/MF&Co SRTx™ (Significant Risk Transfer Index)

2024-03-01 Fixing Date - Survey Submission Window: OPEN

LATEST CRTx® Index Rebalancing Metrics (1/31/2024)

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CRTx® Index Basket: FEB 2024  Factor Updates (2/26/2024)

  • CRTx® AGG principal paydowns were 0.61% of the Feb. basket UPB vs 0.81% in Jan.:​

    • $ 422 million in coupon payments

    • $ 307 million in paydowns

  • -1.0 bps to Feb. CRTx® AGG total return due to paydowns.

  • Class C/Es a few bps higher.

  • Aggregate 1st-loss B-piece index realized write-downs/shortfalls total return hit -5.4bps for Feb.

  • Feb. factor speeds -6% slower on average MoM based on STACR (seasoned range ~3- to 6-handle CPRs).

  • Total DQ%s ~13% lower MoM (STACR).

  • One STACR deal continued to fail its DQ test in Feb.

  • SOFR coupon resets lower by ~2bp MoM.

HOME PG CRTx Factor Update


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Mark Fontanilla & Co., LLC

255 W MLK Blvd Ste. 2402

Charlotte, NC 28202

O: 704-405-0575

C: 201-213-7168


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