AlphaCentric Premium Opportunity Fund Class C · NASDAQ:HMXCX
AlphaCentric Premium Opportunity Fund Class C — AlphaCentric Income Opportunities Fund — Investor Presentation (April 2022)
24 slides from AlphaCentric Premium Opportunity Fund Class C's investor presentation, Apr 5, 2022
Slide 1: AlphaCentric Income Opportunities Fund First Quarter Investor Call
AlphaCentric Income Opportunities Fund IOFAX, IOFCX, IOFIX First Quarter Investor Call April 5th, 2022
Slide 2: IOFAX Performance
IOFAX Performance AlphaCentric Income Opportunities Fund: 1-Year, 3-Year and Since Inception Annualized Return (5/28/15-03/31/22) 50% 45% 40% 35% 30% 25% 20% 15% 10% 4.64% 6.72% 5.96% 3.68% 2.11% 1.69% 2.03% 5% 0.47% 0% -5% -1.22% -10% -4.15% Class A 1YR Class A 3YR Class A 5YR Class A Since Barclay
Slide 3: Performance Comparison Last 5 Years
Performance Comparison Last 5 Years Total Return: March 31, 2017 to March 31, 2022 Income Opportunities Barclays Barclays U.S. Fund (IOFIX) Aggregate Baa Index High Yield S&P 500 Q1 2022 -4.63% -5.93% -7.87% -4.84% -4.60% 1 Year +3.93% -4.15% -4.11% -0.66% +15.63% 3 Year +7.19% +5.15% +10.49% +14.38
Slide 4: Q1 2022 Markets
Q1 2022 Markets WTI Crude 33.33% 55.01% WTI Crude Commodities 25.45% 27.05% Commodities Gold 5.92% -3.64% Gold Treasury Bills -0.03% 0.04% Treasury Bills U.S. Lvrged Loans -0.43% 5.14% U.S. Lvrged Loans S&P 500 -4.60% 28.68% S&P 500 IOFIX -4.63% 14.92% IOFIX U.S. Corp. HY -4.84% 5.28% U.S. Corp. HY
Slide 5: Performance Comparison Last 12 Months
Performance Comparison Last 12 Months Total Return: March 31, 2021 to March 31, 2022 110 108 Total Return (indexed to 100) 106 104 +3.93% 102 100 -0.66% 98 96 -4.11% -4.15% 94 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 Oct-21 Nov-21 Dec-21 Jan-22 Feb-22 Mar-22 Income Opportunities Fund (IOFIX)
Slide 6: Credit Spreads Have Widened & Govt Rates Have Risen In 2022
Credit Spreads Have Widened & Govt Rates Have Risen In 2022 Indexed Growth: December 31, 2021 to March 31, 2022 +128 bps 130 bps 3/15 110 bps 90 bps +83 bps (151 to 234) Index Moves (BPS) 70 bps +58 bps +59 bps 3/14 (56 to 115) 50 bps +42 bps (283 to 325) 30 bps +25 bps (100 to 125) 10 bps 12/31/21
Slide 7: Performance Comparison Year To Date
Performance Comparison Year To Date Total Return: December 31, 2021 to March 31, 2022 102% 100% 98% -4.10% -4.60% 96% -4.63% Total Return (indexed to 100) -4.88% 94% -5.93% 92% -8.38% -8.94% 90% 88% 86% 84% 82% 80% 12/31 1/15 1/30 2/14 3/1 3/16 3/31 Income Opportunities Fund (IOFIX) Bloomberg Aggreg
Slide 8: 2020 Historical Fund Outflows Across Bond Universe Not Matched
2020 Historical Fund Outflows Across Bond Universe Not Matched Weekly Bond Fund Flows ($ BN) Weekly IG Corp Bond Fund Flows ($BN) $55.3 bn IG Bond $108.9 bn Fund Bond Fund Outflows Outflows Weekly Municipal Bond Fund Flows ($ BN) $11.1 bn Muni Bond Fund Outflows Source: Bank of America. There is no
Slide 9: Difference In Monthly Average Trade Volume For Non-Agency Space
Difference In Monthly Average Trade Volume For Non-Agency Space Non-Agency RMBS Average Trade Volume: 2020 to 2022 YTD $2,000 $1,773 M Mar '20 $1,600 Trade Volume ($M) $1,200 $708 M $800 Jan '20 $557 M $557 M $571 M $557 M Avg. Avg. Feb '22 Avg. $441 M $444 M $390 M Feb '20 Mar '22 Jan '22 $400 $ Ja
Slide 10: Strong Housing Headlines
Strong Housing Headlines “For the year, the National Composite Index recorded a gain of 18.8%. This is the highest calendar year increase in 34 years of data, and substantially ahead of 2020's 10.4% gain. The 10- and 20-City Composites rose 17.0% and 18.6%, respectively – a record for the 20-City Co
Slide 11: Home Price Example
Home Price Example Homeowners today are spending on average $6,000 less a year (inflation adjusted) on their mortgage payments. 1990 Today Median Home Price $126,800 $408,100 Avg. 30 Year Mortgage Rate 10.26% 4.16% Monthly Mortgage Payment $1,137 $1,986 Inflation Adjusted Monthly Mortgage Payment
Slide 12: Housing Historically Has Performed Well During Inflationary Periods
Housing Historically Has Performed Well During Inflationary Periods Annual Home Price and CPI Year Over Year Growth: 1968 to 2021 18 14 10 Annual Growth (%) 6 2 1968 1972 1976 1980 1984 1988 1992 1996 2000 2004 2008 2012 2016 2020 -2 -6 -10 -14 CPI YoY Index Annual Home Price Growth Source: Bloomber
Slide 13: Deutsche Bank Case Example w/ Superior Court of State of California
Deutsche Bank Case Example w/ Superior Court of State of California Background Should deferred, forborne principal amounts that were applied as realized losses be factored into termination call prices? Yes/No? Deutsche Bank trustee asking the Court on what proper calculation of call prices are.
Slide 14: Additional Sources Of Potential Upside For The Fund
Additional Sources Of Potential Upside For The Fund 13% of Portfolio 8% of Portfolio $328 Million 64% of Portfolio $206 Million $1.6 Billion $2.5 Billion Current Portfolio Total Accumulated Losses Forbearance Outstanding Overcollateralization • Legacy Non-Agency RMBS • Theoretical max potential of •
Slide 15: Portfolio Homeowners Own More Than 50% Equity In Their Homes
Portfolio Homeowners Own More Than 50% Equity In Their Homes HPI-LTVs have decreased from 56.9% to 44.1% in two years, increasing equity ownership by 12.8%. Portfolio HPI-LTVs: Last 2 Years 58 56 54.0 54 52 51.0 Percent (%) 50 48 46.0 46 44 44.1 42 Mar-20 Jul-20 Nov-20 Mar-21 Jul-21 Nov-21 Mar-22
Slide 16: Levels of Mitigation
Non-Agency Subprime RMBS*: 6 Levels Of Defense Lower monthly payment 1 Homeowner Borrower Support from unemployment, stimulus checks, refundable tax credits, forbearance, loans, etc. 44.1% LTV ($150K loan vs. $341k home value) Levels of Mitigation 2 Loan-to-Values Provides enough asset cover
Slide 17: In Summary
In Summary 1. Sector has remained liquid. 2. Credit is improving via strengthening housing market. 3. Floating rate securities will rise along with rising interest rates. Source: Internal. There is no assurance that the Fund will achieve its investment objective, generate positive returns, or avoid
Slide 18: Q&A with
Q&A with Diversified securitized products manager with particular focus in Non-Agency Residential Mortgage Backed Securities Team members average 20 years of experience in securitized products: structured, traded, managed tens of billions worth of deals Founding partners have worked together f
Slide 19: Key Definitions
Key Definitions Alpha: A measure of the difference between a fund's actual returns and its expected performance, given its level of risk as measured by beta. Alt-A: Classification of mortgages with a risk profile falling between prime and subprime. Historically these loans usually have some high ris
Slide 20: Mutual Fund Risk Terms Defined
Mutual Fund Risk Terms Defined Risk RiskCategory Category DefinitionExplained Definition Explained Borrowing for investment purposes creates leverage, which will exaggerate the effect of any change in the value of securities in the Fund’s portfolio on the Fund’s net Borrowing Risks and Leverage Risk
Slide 21: Mutual Fund Risk Terms Defined
Mutual Fund Risk Terms Defined Risk Category Definition Explained High-yield securities (also known as junk bonds) carry a greater degree of risk and are more volatile than investment grade securities and are considered speculative. High-yield securities may be issued by companies that are restructu
Slide 22: Mutual Fund Risk Terms Defined
Mutual Fund Risk Terms Defined Risk Category Definition Explained The issuers of securities held by the Income Fund may be able to prepay principal due on the securities, particularly during periods of declining Prepayment interest rates. Securities subject to prepayment risk generally offer less po
Slide 23: Talking Points
Talking Points Slide 2: Self-explanatory performance slide. Slide 3: Read out many of the numbers on the page including the summary above the graph. Self-explanatory performance graph. Slide 4: Self-explanatory. Read title, bullet point, and many of the performance numbers on the page. Slide 5: Perf
Slide 24: Important Risk Information
Important Risk Information Investors should carefully consider the investment objectives, risks, charges and expenses of the AlphaCentric Funds. This and other important information about the Fund is contained in the prospectus, which can be obtained by calling 844-ACFUNDS (844-223-8637) or at www.A
AlphaCentric Income Opportunities Fund — Investor Presentation (April 2022) on 6ix