Latest News and Updates
May 2023 Month-End CRTx® Index Rebalancing Update
For the 2nd month in a row, the CRTx® Aggregate index finished in positive territory, posting a 1.33% total return for May. Amidst debt ceiling volatility and higher rates, CRT spreads largely firmed MoM and the sector outperformed most broad stock and fixed rate bond segments which saw red in May, save for tech. YTD, the CRTx® AGG is now up 7.42% as substantial carry, tenders, supportive supply technicals, and favorable mortgage credit still buoys the sector.
April 2023 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate index gained 2.11% in April, rebounding from last month’s bank-stress induced decline. GSE CRT rallied in kind with the overall moves in equity and fixed income markets as medium/long term Treasury yields fell and overall credit spreads firmed. YTD, the CRTx® AGG is up 6.01%, outperforming broader rates and IG/HY benchmarks on the back of higher coupon carry and supportive supply technicals.
MF&Co's Founder Mark Fontanilla appointed to IMN's 7th Annual Investors' Conference On Credit Risk Transfer advisory board and panelist speaker.
Information Management Network (IMN) 2023 Annual Investors' Conference On Risk Transfer advisory board guides the content production, including speaker acquisition, and ensures a cutting edge, timely, and educational program for all attendees.
March 2023 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate lost ground in March, posting a -0.17% monthly total return amidst the prevailing bank-related market stress. Broader equity and fixed income markets saw wide trend swings and heightened volatility throughout the month, but the curve eventually “deflated” back down towards January levels, and stocks and fixed rates net rallied for March after a mid-month sell-off, despite widening credit spreads. For Q1/YTD, the CRTx® AGG is up 3.82%, still edging out broader rates and IG/HY benchmarks for the year so far.
February 2023 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate posted a 1.53% total return for February, the 4th month in row of positive gains for the index. Benchmark GSE CRT was able to run counter to the red seen in broader markets over the month as a higher, more inverted curve helped ravage stocks and fixed rates, while the latest STACR tender, bull-flattening of the credit curve, and a negative supply technical helped buoy CRT sector performance.
January 2023 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate starts 2023 in kind with the broad bond/stock market rallies, surging 2.43% in January as the curve bull flattened/inverted MoM even more, and spreads across most sectors followed tighter. Gains were seen across virtually the entire the CRT complex, with newer 2021/2022 deal vintages leading the way.
December 2022 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate turned in a strong finish to the year, gaining 2.09% MoM in December, and closed out Q4 returning 1.68% QoQ. For full-year 2022, the Index eked out a positive 0.49% total return; well below carry, but much better than the broader fixed rate benchmarks that were hit harder by significantly higher rates and extraordinary volatility. Within the CRT complex though, annual performance was mixed as newer issues, especially B tranche variants, ended in the red YTD while seasoned paper made out much better.
November 2022 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate posted a 0.61% gain in November, ending a significant 2-month losing streak as most fixed income and equity markets rebounded off recent lows throughout the month. CRT underperformed major bond sectors as a lower belly/long end of the curve boosted fixed rates, especially longer-duration IG and MBS. Intra-complex, the top/middle of the capital structure and newer issues led gains, but YTD the standard CRTx® Aggregate is still down -1.57%, while the CRTx® RNI™ (Rolling New Issues) Aggregate is at -5.34% with one month to go in the year.
MF&Co's Founder Mark Fontanilla appointed to Structured Credit Investor (SCI) 2022 Middle Market CLO awards advisory board.
Structured Credit Investor (SCI) 2022 Middle Market CLO awards advisory board provided invaluable input in the selection process, with final selections for the awards made by the SCI editorial team, based on the pitches received, colour from other market participants and SCI's own independent reporting.
MF&Co Chief Strategist Mark Fontanilla to speak at: SCI's 3rd Annual Middle Market CLO Seminar (New York, NY) 11/15/22
Conference panel: Manager/Investor Roundtable
A discussion of the key topics impacting both issuers and investors such as: how they balance their respective needs and wants; trends in underwriting/acquisition and risk/portfolio management in the current volatile environment; and current liquidity, pricing, and risk/reward differentials for BSL vs. MM CLOs. As well as an examination of the evolution of the MM CLO investor base and borrowing sector diversification trends and outlook.
October 2022 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate fell for the 2nd month in a row, posting a -1.01% total return for October, with red seen across most of the CRT complex as even higher rates and vol weighed heavily on fixed income markets, especially rates, IG, and structured finance sectors. The latest STACR tender offer helped soften the blow somewhat, but YTD, the standard total market CRTx® Aggregate has now returned -2.17%, while the CRTx® RNI™ (Rolling New Issues) Aggregate is now -6.37% for the year.
MF&Co Chief Strategist Mark Fontanilla to speak at: IMN's 28th Annual ABS East Conference (Miami Beach, FL) 10/17/22
Conference Panel: Market Outlook for GSE CRT - What is the expected issuance volume for GSE CRT transactions for 2023 and beyond? And what are the drivers of strategy for the GSE’s? How are current GSE programs performing? Have there been any significant structural changes or developments? What operational and supervisory changes can be expected for the GSEs in the near future and are these expected to impact their approach to CRT? Resulting impacts on CRT following the FHFA case ruling. Risk profile across new credit protection bonds purchased by GSEs as a result of revised capital rules. Impact of GSE reform, lender regulation and affordable housing initiatives
September 2022 Month-End CRTx® Index Rebalancing Update
September saw the CRTx® Aggregate stumble in kind with the broader markets, returning -1.03% MoM as fixed income and equities were thoroughly roiled by higher rates, wider spreads, rising volatility, and a resolute Fed. For Q3 though, the CRTx® still managed to end positively, finishing up 2.42% with some help from significant July/August tender premiums. YTD, the standard total market CRTx® Aggregate is down 1.17%, while the CRTx® RNI™ (Rolling New Issues) Aggregate has returned -5.49%.
August 2022 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate gained a substantial 3.21% in August, the 2nd positive month in a row, as the Index continues to recover from the 2022 lows hit in mid-July. With the curve “tsunami twisting”, CRT solidly outperformed major fixed income asset classes as rates and IG/HY suffered from higher MoM Rates, and equities moved net-lower for August.
July 2022 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate gained 0.27% in July, ending a 2-month losing streak, but returning below sector composite carry. With the curve bull flattening/inverting and major asset class spreads tightening, CRT soundly underperformed rates and IG/HY for the month, although CRT finished July on an upswing.
June 2022 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate lost 0.98% MoM in June, and finished Q2 down 1.57%. A range of headwinds, including ongoing inflation/recession fears, a bear flattening curve, wider credit spreads, and subdued liquidity drove widespread bond and stock market losses. Collectively, the CRT complex still manages be the “least worst”, edging out other major sectors so far this year, albeit from the negative side.
May 2022 Month-End CRTx® Index Rebalancing Update
Heightened volatility persisted in May and the CRTx® Aggregate lost 1.03% for the month, making it 3 out 5 months YTD the Index finished in the red. With a myriad of domestic and geopolitical issues continuing to press on markets, CRT underperformed the major fixed income sectors...
MF&Co Chief Strategist Mark Fontanilla to speak at: IMN's 6th Annual Investor's Conference on U.S. Risk Transfer
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.
April 2022 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate managed to gain 0.44% in April, ending a 2-month losing streak, as the Fed, inflation, and war continued to weigh on markets. Overall, CRT outperformed major fixed income sectors with the curve up 40-50bps and IG/HY spreads wider, while CRT coupon resets rose. Intra-complex, performance improved from last month’s declines as CRT steadied somewhat on firmer new issue spreads vs. the March wides, and net supply remained high.
MF&Co Chief Strategist Mark Fontanilla to speak at: SCI's 6th Annual Risk Transfer & Synthetics Seminar
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.
March 2022 Month-End CRTx® Index Rebalancing Update
As the Ukraine/Russia conflict raged on and the curve continued to bear-flatten, the CRTx® Aggregate posted a -1.04% decline in March, the 2nd negative month in a row. For Q1/YTD, the Index closed down 1.96% as most major bond and stock market aggregates also finished Q1 well in the red. On top of the CRT credit curve widening, March concluded Q1’s record pace for benchmark GSE CRT issuance, which brought commensurate supply pressures.
MF&Co's Founder Mark Fontanilla appointed to IMN's 2022 U.S. Risk Transfer Advisory Board
MF&Co's founder Mark Fontanilla has been appointed to the Information Management Network (IMN) 2022 U.S. Risk Transfer Advisory Board, which makes expert recommendations regarding IMN's annual Investor's Conference on U.S. Risk Transfer. This well-regarded industry event covers important topics on the risk transfer markets for U.S. assets, including GSE CRT, U.S. bank balance sheet management, mortgage insurance and reinsurance, catastrophic insurance and reinsurance relating to real estate assets, and consumer risk transfer.
February 2022 Month-End CRTx® Index Rebalancing Update
Global markets swooned as the Ukraine/Russia conflict unfolded through February. With the turmoil, the CRTx® Aggregate lost 1.00%, the worst monthly total return (besides the beginning of the COVID onset) since Feb. 2016. As equity and fixed income markets were seeing red, the CRT credit curve moved markedly wider amidst a record month for benchmark GSE CRT issuance.
January 2022 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate index managed to eke out a 0.06% return for Jan. amid a higher/bear flatter curve, wider credit spreads, and both bond and stock market aggregates finishing Jan. well in the red. While CRT in mass nominally outperformed other markets, intra-complex was mixed, with more recent-issue B classes providing most of the drag, while seasoned issues held in much better.
December 2021 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate index ended December up 0.30% for the month, 0.63% to end Q4, and closed out 2021 with a 5.86% total return. In a reversal of 2020, the CRTx® AGG outperformed other major rates and credit sector benchmarks YTD as a 60+bps higher curve overwhelmed 2021’s firmer credit spreads, save for HY, which performed comparably to, but in the end still lagged, CRT.
November 2021 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate Index posted a +0.15% gain for November, as vol moved increasingly higher and credit spreads widened. For Q4 so far, the CRTx® is up 0.33%, and YTD up 5.54%, continuing to outperform major rates and corporate credit sectors that have been affected by net-higher 2021 rates. Credit/deal performance is still trending positively, although the CRT credit curve bear-steepened again. Gross supply has been brisk in Q4 (2nd highest qtr. volume in history), but net supply is down YTD in large part from tender activity.
October 2021 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate Index posted a +0.18% gain for October, returning below effective carry as credit curves bear-steepened while the yield curve bear-flattened. YTD the Index is up 5.39%, still outperforming other rates and corporate credit sectors, as FNMA/CAS returned to the market and FHLMC/STACR also printed in October, making for the biggest benchmark GSE CRT issuance month of the year at ~$2.7B.
September 2021 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate Index gained 0.55% in September, and finished Q3 up 1.08%, outperforming other bond sector benchmarks as the curve moved higher/steeper and corporate credit spreads inched wider in Q3. FHLMC’s tender offer, FNMA’s return plan, and the latest STACR deal made for an eventful month in CRT.
August 2021 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate Index finished August gaining 0.25%, outpacing most other major fixed income sector benchmarks MoM, save for HY, as the curve moderately bear steepened. YTD, benchmark GSE CRT is still outperforming rates and IG/HY as markets head towards summer’s end.
May 2021 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate finished May up 0.51% MoM, so far returning 1.76% QTD, and 3.37% YTD. An incrementally flatter CRT credit curve, gently better credit/structure risk metrics, and continually supportive technicals helped extend the CRTx® win streak to 2 months in a row of positive total returns.
April 2021 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate posted its best monthly return of the year, ending April up 1.25% MoM, and reversing March’s volatility-led decline. A flattening of the CRT credit curve, improving credit/structure performance, and supportive technicals helped the CRT sector rebound from March.
March 2021 Month-End CRTx ® Index Rebalancing Update
The CRTx® Aggregate returned -0.18% in March, breaking a 7-month positive return streak as demand was volatile, new-issue spreads widened, and cross-asset credit yields had moved relatively cheaper. The CRT market still ultimately outperformed most other major fixed income sectors MTD/QTD/YTD, closing Q1 up 1.61%, as a higher/steeper curve continued to pressure rates and IG/HY. The CRTx® Aggregate Index basket for April starts at $48.76 billion in market value across 236 constituents from 97 deals.
February 2021 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate ended February up 0.59% MoM, extending its positive monthly return streak to 7 months in a row, and has returned 1.80% YTD. The CRT market continues to outperform major rates and corporate credit sectors this year, despite IG/HY tightening, as the curve moved markedly higher and the 2s/10s spread bear-steepened another 30bps. The CRTx® Aggregate Index basket for March starts at $48.86 billion in market value across 235 constituents from 95 deals.
January 2021 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate opened 2021 up 1.20% MoM for January, nearly identical to the pre-COVID 1.21% total return from 2020’s opening month one year ago. CRT outperformed other major rates and corporate credit sectors as the curve bear steepened ~20bps. Generally firmer spreads across the CRT complex, a flattening of the credit curve, along with better new-issue pricing from the 1st STACR deal of the year, helped buoy the CRT sector last month. The CRTx® Aggregate Index February basket starts at $48.3 billion in market value across 232 constituents.
MF&Co In The News: Bloomberg
Bloomberg 1/22/2021: Normally Trouble, Refinancings Are Boosting Some Mortgage Bonds - "When homeowners refinance their mortgages, bond investors often get hurt, but a small corner of the debt market is ironically benefiting from it.....The “supplemental subordinate reduction amount,” which was added to entice potential investors, makes it so payments can pick up even if delinquencies remain high, according to Mark Fontanilla, whose eponymous company created the CRTx Credit Risk Transfer Return Tracking Index. In these deals, once an existing CRT’s size is big enough compared with the unpaid balance of its reference pool, principal payments will resume despite any failed delinquency tests....."
December 2020 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate finished 2020 strong, ending December up 1.91% MoM, and Q4 positive by 4.16%, while closing out the year with a relatively modest, but meaningful 2.26% YTD total return. The COVID-19 pandemic’s extraordinary stress on the CRT market in Q1, where the CRTx® Aggregate lost nearly 25%, and the sector’s subsequent recovery, lagged other rates and credit sectors substantially, but the rebound in market values, credit performance, issuance, and market technicals all helped benchmark GSE CRT end 2020 on a number of positive notes. The CRTx® Aggregate Index starts 2021 at $47.7 billion in market value (vs $49.7 billion at the beginning of January) across 230 constituents.
October 2020 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate finished October up 0.68% for the month, once again outpacing most other major market benchmarks month over month as equities net declined and the curve bear steepened. October’s CRT market values generally improved overall as sector volatility stayed contained amidst rate volatility edging up and the curve bear steepening. The latest reference pool DQ figures came in generally improved in aggregate, although a few deals ticked up in the October statements. The latest STACR 2020-DNA5 deal enters the CRTx® November basket, which will start out at $45.57 billion in constituent market value, an increase of 1.6% over the October basket.
MF&Co In The News: Bloomberg
Bloomberg 10/26/2020: A $50 Billion Housing Bond Market Is Stuck in Regulatory Limbo - "A $50 billion bond market once heralded as the future of housing finance has been stuck in limbo since the start of the coronavirus crisis, and now proposed regulatory changes have left investors worrying that they might be left holding the bag.....At issue are so-called credit-risk-transfer securities offered by Fannie Mae and Freddie Mac. They are tied to Fannie and Freddie’s mortgage-backed securities and pay investors principal and interest as long as the borrowers don’t default. CRT bonds have a market capitalization of about $45 billion, according to data from market research firm Mark Fontanilla & Co....."
September 2020 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate Index ended September up 1.11% for the month, outpacing most other major fixed income sectors. For Q3, the Index gained 2.41%, lagging only HY for the quarter. September’s CRT market values were modestly improved as volatility remained lower and the latest reference pool credit performances came in largely contained, albeit at persistently elevated levels. With the latest STACR 2020-HQA4 deal printing, the CRTx® October basket will start out at $44.87 billion, net little changed from September’s constituency.
August 2020 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate Index posted a solid 1.69% total return in August, recouping July’s -0.39% decline and then some. Index gains were led primarily by a surge in the earliest-vintage fixed severity deals, and overall firmer spreads for Lower Mezzanines across the board. CRT outperformed the major fixed income sectors for the month as the curve bear-steepened, but CRT sits at -2.89% YTD, still well behind rates and IG/HY for 2020 so far.
July 2020 Month-End CRTx® Index Rebalancing Update
After a remarkable +27% rebound in Q2, the CRTx® Aggregate Index started Q3 modestly down, posting a -0.39% total return for July. Benchmark CRT has not quite recovered its Q1 declines and sits at -4.51% YTD, still lagging other major markets, including rates, IG, and HY, which all rallied last month, and are all now positive for the year.
June 2020 Month-End CRTx® Index Rebalancing Update
The CRTx® Aggregate Index closed out Q2 strongly, gaining 9.04% in June, and finishing the quarter up 27.16%. The Index had been down over 25% YTD at the end of Q1 during the beginning of the COVID-19 market fallout, but now sits down “only” 4.13% YTD at the end of Q2. June/Q2 CRT returns beat all other major fixed income sectors, but benchmark CRT still lags YTD as both CRT and HY remain negative.
May 2020 Month-End CRTx® Index Rebalancing Update
CRTx® Aggregate Index continued to regain lost ground in May, returning 7.03% for the month, following the 8.97% rebound in April. QTD, the CRTx® is up 16.62%, beating most other major fixed incomes sectors, including HY’s nearly 10% 2nd quarter comeback so far. However, YTD, the CRT market still lags with a COVID-19 influenced -12.08% total return, while most other rates and credit sectors (except HY) are positive for 2020. 2018-2020 LMEZZ and SUBs led the way, while the earliest fixed severity tranches lost more ground.
MF&Co In The News: WSJ
WSJ 5/27/2020 - Fannie and Freddie’s Capital Dilemma: "A new proposal would give the mortgage firms a sizable capital cushion to protect taxpayers but could complicate their potential public offerings" (including quotes from MF&Co's Chief Strategist Mark Fontanilla and a reference to the CRTx® Index.
April 2020 Month-End CRTx® Index Rebalancing Update
Following the broader markets, the CRTx® Aggregate Index rebounded in April, posting an 8.96% total return for the month, taking back some of the stunning 25%+ drop in March as COVID-19 related stress continued. CRT outpaced other fixed income sectors such as HY, which gained over 5% in April, but the CRT sector still has a bigger return deficit to overcome. While aggregate CRT performance was up for April, technicals and fundamentals continue to drive differences across the CRT complex.
MF&Co In The News: Bloomberg
Bloomberg 4/3/2020: After $50 Billion of Losses, No One Comes to Save the Mortgage Market - "The market for mortgage-backed securities was in free fall, with fear running rampant and banks seizing collateral......“For buyers in this market, it’s about willingness and ability right now,” said Mark Fontanilla, who owns a market strategy consulting firm that specializes in structured finance. “Things are so uncertain, you need to have deployable, stable capital to be able to hold positions, especially less liquid ones, through the uncertainty.....”