UPDATES

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CRTx® and RSKFREx™ Index Suites Now on Refinitiv

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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 (https://www.refinitiv.com/en/products).

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The Curve’s “Tsunami Twister”  (9/30/22)

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Inflation and the Fed have whipped the curve around this year, roiling bonds with major fixed rate sectors down anywhere between -13% to -18%+ YTD in total return. The higher 2022 rate environment, led initially by the back end selling off sharply, then the belly swelling behind it, followed by the short-end following higher with Fed tightening – a veritable “tsunami twister”, has sent a wave of higher rates rolling down the curve and crashing against the economy. Floaters, especially one-month resets, are one bulkhead shore option that benefits as the rate surf hits the front-end with every passing Fed raise. And there a lot of those in CRT…

MF&Co Introduces The RSKFREx™ Index Suite

Rolling Short-Term Key Funding Reference Index & Rate

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The RSKFREx™ (Rolling Short-term Key Funding Reference Index) is a fixed income total return benchmarking suite that emulates recurring investment in a prevailing short-term 4-week U.S. Treasury Bill. The suite is comprised of the RSKFREx™ Index and the corresponding RSKFREx™ Rate. Both fluctuate directly with prevailing market rates, are settled daily, and rebalanced monthly to provide a realistic representation of the execution economics from “rolling” 4-week U.S. Treasury Bills, allowing for straightforward, practical, and highly flexible benchmarking of excess returns and/or funding costs.