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

January 2021 Month-End CRTx® Index Rebalancing Update

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

ANALYTICS FIRM OF THE YEAR

UPCOMING: SCI's 5th Annual Risk Transfer & Synthetics Seminar 

4/21/2021-4/22/2021

MF&Co Workshop Session

Wednesday 4/21/2021

11:00am EST

"What a difference a year makes: Mortgage CRT in the time of COVID"

  • Volatility strikes twice - a comprehensive total return account

  • Mortgage credit stars align - losses, speeds, and structures vs. the financial crisis

  • Latest investor risk/reward proposition - key metrics and comparisons

  • Technicals and the yin-yang of investors and issuers

  • Strategy ideas at this point in the cycle

Advanced Market Intelligence, Insights, and Strategies

Providing Comprehensive Strategic Consulting and Advisory Services To The Markets

LATEST CRTx® Index Rebalancing Metrics (5/3/2021)

2021 April Rebalancing Stat Table.jpg

CRTx® Index Basket: April 2021 Factor Updates (4/26/2021)

  • April CRTx® AGG paydown percentage (2.52%) 15% higher vs March (1.97%):

    • Total Index/Sector Paydowns for April: $1.2 Billion

  • Class C/Es continued to incrementally improve MoM, on average up 5%+.

  • Both tranche and reference pool realized write-downs/shortfalls are still nominal, actually lower MoM.

  • April factor speeds up for STACR (high 40s/low 50s CPR range), up but less so for CAS (CAS reporting period 1mth lagged vs STACR).

  • Total DQs slightly lower: early stage modestly lower, 180+ DQs flattish/marginally lower (based on STACR reporting).

  • APRIL MTD CRTx® INDEX PAYDOWN RETURN ATTRIBUTION: -1.3 bps

 

CONTACT INFO:

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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© 2021 Mark Fontanilla & Co., LLC