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MYcx™ (MY Custom Index) is a first-of-its-kind bond and stock index customization web app that anyone, from the average person to the largest institutions, can easily create their own custom indexes using powerful proprietary tools, methods, and AI techniques...

THE NEW CRTx® Index Portal is a state-of-the-art index analytics platform powered by MF & Co’s proprietary Hyper Neural AI™ and the firm’s Configurator Cube™ process to provide the most innovative index insights, all at virtually the speed of thought.

November 2024 Month-End CRTx® Index Rebalancing Update

October 2024 Month-End CRTx® Index Rebalancing Update

September 2024 Month-End CRTx® Index Rebalancing Update

August 2024 Month-End CRTx® Index Rebalancing Update

July 2024 Month-End CRTx® Index Rebalancing Update

June 2024 Month-End CRTx® Index Rebalancing Update

May 2024 Month-End CRTx® Index Rebalancing Update

Private equity is helping banks shed some of their risks...

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

Thankful Thoughts (12/2/24)

With one month to go in 2024, the GSE CRT market is on the verge of turning in a 2nd straight 10%+ return year in a row. As Thanksgiving Day kicks off the holiday season, there are a few thankful thoughts that come to mind for the sector and its well-above average total return year: no recession, a cautious Fed, tender premiums, record tight B1/B2 new issue pricing spreads... (Read more here)

Coasting Into Year End on a Compressed Curve (11/1/24)

At October month-end, the Treasury curve reached a curious condition. The highest par-curve yield point was the 1-month at 4.76%, while the lowest was the 3-year at 4.12%, making for a 64 bp range between high and low points on the curve, with all maturities carrying a 4%-handle yield. This is the most compressed the Treasury par curve has been since 2020, right before the Fed’s pandemic cuts started, and with the whole curve at 1%-handle yields back then…Heading into year-end, it looks like CRT may be just clipping slightly smaller, but for now still sizable, coupons... (Read more here)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Playing With a Lead to Start the 4th Quarter (10/1/24)

After much anticipation, the Fed has finally done it, cutting Fed funds by 50 bps in September, the first move since their last hike in in July of 2023. With this, CRT 30-day average SOFR floater coupons will begrudgingly, but inevitably, follow as October resets are already -6.9 bps lower and the full 50 bps Fed drop will be consolidated into lower November resets (the lag effect from a 30-day lookback). So CRT’s big play option of 2024, the sector’s relatively large coupons amidst an inverted curve, will face a dovish defensive front from the Fed heading into Q4.  However, benchmark GSE CRT is still playing with a lead over other fixed income sectors with an 8.82% YTD sector return, though the gap is now certainly slimmer on Q3’s strong curve rally buoying rates and IG/HY, which have now returned in the ~4%-8% area YTD. (Read more here)

 

Momentum Shift Heading Into the 4th Quarter (9/3/24)

CRT returns this year have been accumulating at a brisk pace across the capital structure (see below for a YTD visual) but, as we near Q4, momentum has shifted. The yield curve continued its odd bullish bent in August as T-Bill rates moved 5 to 35 bps progressively lower, further inverting the Bill curve. If the Fed follows through on rate cuts, currently substantial CRT coupons would start to get chipped away at. Meanwhile, Treasury coupon yields effectively moved in mirror opposite with 2-year yields rallying 38 bps, leading coupon Treasury yields lower for the month, while the rest of the coupon curve dipped 26 to 15 bps, still leaving the 5-year as the low point at 3.71%, and the 2s/10s spread now flat at 3.91%. If further belly/long end of the curve rallying would occur, even more upside potential would continue to shift from credit to convexity in broader fixed rates, perhaps dampening CRT spreads & total return accumulation. (Read more here)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

More Curve Shape-Shifting. Twilight For Floaters? (8/1/24)

With the Fed ever-increasingly expected to make a rate cut in the near future, the Treasury curve continues to shape-shift, moving back towards start-of-the-year levels. The coupon part of the curve has rallied significantly as the belly leads the way down and the current-low-point 5-year yield approaches 3.80%. Meanwhile, the front end is still holding on at the high part of the curve, pending a Fed move. At this juncture, things may be at a plateau for this year’s floater advantage as carry could be chipped away with rate cuts. (Read more here)

 

​​​​​

2024-07-31 Shape Shifting Curve Graph
2024-08-30 Relative Return Radar R3.png
2024-10-31 Compressed Curve.png

MFCo Index Total Returns   

 2024-12-09

RSKFREx™
Rate
Daily
MTD
YTD
141.38059
4.38704%
0.03653%
0.13795%
5.09513%
141.32897
4.38704%
0.01363%
0.10138%
5.05676%
141.30971
4.40720%
0.01750%
0.08774%
5.04244%
141.28498
4.47775%
0.01321%
0.07023%
5.02406%
141.26632
4.48783%
0.01893%
0.05701%
5.01019%
141.23958
4.56848%
0.03807%
0.03807%
4.99031%
141.18583
4.56674%
0.02528%
0.37031%
4.95035%
141.15014
4.56674%
0.01273%
0.34494%
4.92383%
141.13218
4.57681%
0.01267%
0.33217%
4.91047%
141.11430
4.57681%
0.03745%
0.31946%
4.89718%
141.06147
4.54659%
0.01282%
0.28190%
4.85791%
141.04339
4.55666%
0.01162%
0.26905%
4.84447%
141.02700
4.51637%
0.01224%
0.25739%
4.83229%
141.00974
4.50630%
0.01341%
0.24513%
4.81946%
140.99084
4.53652%
0.03773%
0.23169%
4.80541%
140.93766
4.53652%
0.01258%
0.19388%
4.76588%
140.91993
4.53652%
0.01214%
0.18128%
4.75270%
140.90283
4.52644%
0.01303%
0.16912%
4.73999%
140.88448
4.53652%
0.04977%
0.15608%
4.72634%
140.81439
4.52644%
0.01256%
0.10625%
4.67425%
140.79671
4.52644%
0.01192%
0.09368%
4.66110%
140.77992
4.51637%
0.01521%
0.08175%
4.64862%
140.75851
4.55666%
0.01404%
0.06652%
4.63271%
140.73874
4.57681%
0.03892%
0.05247%
4.61801%
140.68399
4.58689%
0.01355%
0.01355%
4.57731%
140.66493
4.59813%
0.01297%
0.40984%
4.56315%
140.64669
4.68886%
0.01298%
0.39681%
4.54958%
140.62844
4.68886%
0.01289%
0.38379%
4.53602%
140.61031
4.67877%
0.03903%
0.37085%
4.52254%
140.55545
4.68886%
0.01279%
0.33169%
4.48176%
140.53748
4.67877%
0.01318%
0.31886%
4.46840%
140.51895
4.68886%
0.01324%
0.30564%
4.45463%
140.50036
4.69894%
0.01357%
0.29236%
4.44081%
140.48129
4.71910%
0.03923%
0.27875%
4.42663%
140.42619
4.71910%
0.01347%
0.23942%
4.38568%
140.40728
4.72918%
0.01311%
0.22592%
4.37162%
140.38888
4.72918%
0.01356%
0.21279%
4.35794%
140.36985
4.73926%
0.05425%
0.19920%
4.34380%
140.29373
4.76951%
0.01382%
0.14487%
4.28722%
140.27435
4.77959%
0.01081%
0.13103%
4.27281%
140.25919
4.73926%
0.01507%
0.12021%
4.26154%
140.23805
4.76951%
0.01524%
0.10512%
4.24583%
140.21668
4.79976%
0.03998%
0.08987%
4.22994%
140.16065
4.79976%
0.01177%
0.04987%
4.18829%
140.14416
4.77959%
0.01085%
0.03810%
4.17603%
140.12896
4.74934%
0.01570%
0.02725%
4.16473%
140.10696
4.77959%
0.01155%
0.01155%
4.14838%
140.09079
4.75943%
0.03927%
0.44805%
4.13635%
140.03580
4.72918%
0.01298%
0.40863%
4.09548%
140.01763
4.71910%
0.01167%
0.39560%
4.08197%
140.00128
4.61829%
0.01262%
0.38388%
4.06982%
139.98362
4.60821%
0.01412%
0.37121%
4.05669%
139.96385
4.67877%
0.03944%
0.35704%
4.04200%
139.90867
4.69894%
0.01332%
0.31747%
4.00098%
139.89003
4.70902%
0.01372%
0.30411%
3.98712%
139.87084
4.72918%
0.01781%
0.29035%
3.97286%
139.84594
4.86026%
0.01581%
0.27249%
3.95435%
139.82384
4.92076%
0.04282%
0.25664%
3.93792%
139.76399
4.96110%
0.01526%
0.21373%
3.89343%
139.74266
4.99136%
0.01543%
0.19844%
3.87758%
139.72110
5.02162%
0.01226%
0.18298%
3.86155%
139.70398
4.99136%
0.01736%
0.17071%
3.84882%
139.67974
5.05188%
0.04407%
0.15332%
3.83080%
139.61821
5.08214%
0.01550%
0.10921%
3.78507%
139.59658
5.10232%
0.01634%
0.09370%
3.76898%
139.57377
5.13258%
0.01801%
0.07735%
3.75203%
139.54863
5.18303%
0.05932%
0.05932%
3.73335%
139.46590
5.20246%
0.01439%
0.44194%
3.67185%
139.44584
5.20246%
0.01467%
0.42749%
3.65693%
139.42538
5.25289%
0.01462%
0.41276%
3.64173%
139.40500
5.26298%
0.01456%
0.39808%
3.62658%
139.38470
5.26298%
0.04391%
0.38347%
3.61149%
139.32353
5.27307%
0.01438%
0.33941%
3.56602%
139.30350
5.26298%
0.01382%
0.32499%
3.55113%
139.28425
5.23272%
0.01505%
0.31112%
3.53682%
139.26329
5.25289%
0.01547%
0.29602%
3.52124%
139.24175
5.28316%
0.04431%
0.28051%
3.50522%
139.18008
5.29325%
0.01425%
0.23609%
3.45938%
139.16024
5.28316%
0.01375%
0.22181%
3.44463%
139.14110
5.26298%
0.01412%
0.20803%
3.43041%
139.12146
5.25289%
0.01657%
0.19388%
3.41581%
139.09841
5.29325%
0.04464%
0.17728%
3.39867%
139.03635
5.30333%
0.01533%
0.13258%
3.35254%
139.01504
5.31342%
0.01218%
0.11724%
3.33670%
138.99811
5.27307%
0.01397%
0.10505%
3.32412%
138.97870
5.26298%
0.01600%
0.09107%
3.30969%
138.95647
5.28316%
0.04479%
0.07505%
3.29316%
138.89425
5.29325%
0.01551%
0.03024%
3.24691%
138.87271
5.30333%
0.01473%
0.01473%
3.23090%
138.85225
5.30568%
0.01470%
0.48543%
3.21569%
138.83185
5.31578%
0.01470%
0.47066%
3.20053%
138.81145
5.31578%
0.04398%
0.45590%
3.18536%
138.75043
5.30568%
0.01485%
0.41174%
3.14000%
138.72983
5.31578%
0.01471%
0.39683%
3.12469%
138.70943
5.31578%
0.01449%
0.38207%
3.10952%
138.68933
5.30568%
0.01469%
0.36753%
3.09459%
138.66897
5.30568%
0.04408%
0.35279%
3.07945%
138.60787
5.30568%
0.01433%
0.30857%
3.03403%
138.58801
5.29558%
0.01389%
0.29420%
3.01927%
138.56876
5.27539%
0.01545%
0.28027%
3.00496%
138.54736
5.29558%
0.01512%
0.26478%
2.98905%
138.52641
5.30568%
0.04359%
0.24962%
2.97348%
138.46605
5.29558%
0.01524%
0.20594%
2.92861%
138.44495
5.30568%
0.01237%
0.19067%
2.91293%
138.42783
5.26529%
0.01460%
0.17828%
2.90020%
138.40762
5.26529%
0.01653%
0.16365%
2.88517%
138.38475
5.29558%
0.04481%
0.14710%
2.86817%
138.32276
5.30568%
0.02945%
0.10224%
2.82210%
138.28203
5.30568%
0.01473%
0.07277%
2.79182%
138.26167
5.30568%
0.01473%
0.05803%
2.77668%
138.24130
5.30568%
0.04329%
0.04329%
2.76154%
138.18148
5.29169%
0.01464%
0.41158%
2.71707%
138.16125
5.29169%
0.01448%
0.39688%
2.70204%
138.14126
5.26144%
0.01448%
0.38234%
2.68717%
138.12126
5.25136%
0.01443%
0.36781%
2.67231%
138.10134
5.24128%
0.04354%
0.35334%
2.65750%
138.04123
5.24128%
0.01452%
0.30966%
2.61282%
138.02119
5.24128%
0.02849%
0.29510%
2.59792%
137.98189
5.22112%
0.01600%
0.26654%
2.56871%
137.95982
5.27153%
0.04423%
0.25050%
2.55230%
137.89882
5.28161%
0.01506%
0.20618%
2.50696%
137.87806
5.29169%
0.01423%
0.19109%
2.49152%
137.85844
5.28161%
0.01465%
0.17684%
2.47694%
137.83825
5.28161%
0.01515%
0.16216%
2.46194%
137.81737
5.29169%
0.04405%
0.14699%
2.44642%
137.75669
5.29169%
0.01469%
0.10289%
2.40131%
137.73646
5.29169%
0.01533%
0.08819%
2.38627%
137.71535
5.30177%
0.01472%
0.07285%
2.37058%
137.69508
5.30177%
0.01472%
0.05813%
2.35551%
137.67482
5.30177%
0.04340%
0.04340%
2.34045%
137.61509
5.29402%
0.01467%
0.45674%
2.29605%
137.59491
5.30412%
0.01462%
0.44201%
2.28105%
137.57480
5.29402%
0.01465%
0.42733%
2.26610%
137.55465
5.29402%
0.05959%
0.41263%
2.25112%
137.47274
5.34448%
0.01368%
0.35283%
2.19023%
137.45393
5.29402%
0.01441%
0.33910%
2.17625%
137.43413
5.28393%
0.01491%
0.32464%
2.16153%
137.41364
5.29402%
0.01466%
0.30969%
2.14630%
137.39349
5.29402%
0.04401%
0.29498%
2.13132%
137.33306
5.29402%
0.01467%
0.25086%
2.08640%
137.31291
5.29402%
0.01423%
0.23616%
2.07142%
137.29338
5.28393%
0.01512%
0.22190%
2.05690%
137.27262
5.29402%
0.01468%
0.20675%
2.04147%
137.25248
5.29402%
0.04405%
0.19204%
2.02650%
137.19204
5.29402%
0.01469%
0.14792%
1.98157%
137.17189
5.29402%
0.01533%
0.13322%
1.96660%
137.15087
5.30412%
0.01472%
0.11787%
1.95097%
137.13069
5.30412%
0.01472%
0.10314%
1.93597%
137.11050
5.30412%
0.04418%
0.08840%
1.92096%
137.04995
5.30412%
0.01392%
0.04420%
1.87595%
137.03088
5.29402%
0.01387%
0.03028%
1.86177%
137.01188
5.28393%
0.01641%
0.01641%
1.84765%
136.98940
5.30568%
0.01467%
0.48728%
1.83094%
136.96931
5.30568%
0.04403%
0.47254%
1.81601%
136.90903
5.30568%
0.01468%
0.42833%
1.77120%
136.88894
5.30568%
0.01468%
0.41359%
1.75627%
136.86885
5.30568%
0.01488%
0.39885%
1.74133%
136.84849
5.31578%
0.01449%
0.38392%
1.72620%
136.82867
5.30568%
0.04407%
0.36937%
1.71146%
136.76839
5.30568%
0.01469%
0.32516%
1.66666%
136.74830
5.30568%
0.01506%
0.31042%
1.65172%
136.72771
5.31578%
0.01472%
0.29532%
1.63642%
136.70758
5.31578%
0.01473%
0.28055%
1.62145%
136.68745
5.31578%
0.04370%
0.26579%
1.60649%
136.62775
5.30568%
0.01471%
0.22199%
1.56211%
136.60766
5.30568%
0.01471%
0.20726%
1.54717%
136.58757
5.30568%
0.01413%
0.19252%
1.53224%
136.56827
5.29558%
0.01469%
0.17836%
1.51790%
136.54822
5.29558%
0.04408%
0.16365%
1.50299%
136.48806
5.29558%
0.01397%
0.11952%
1.45827%
136.46899
5.28548%
0.01542%
0.10554%
1.44410%
136.44795
5.29558%
0.01626%
0.09010%
1.42846%
136.42577
5.31578%
0.01476%
0.07383%
1.41196%
136.40564
5.31578%
0.05906%
0.05906%
1.39700%
136.32512
5.31186%
0.01464%
0.41393%
1.33715%
136.30516
5.29169%
0.01464%
0.39923%
1.32231%
136.28520
5.29169%
0.01473%
0.38453%
1.30748%
136.26513
5.30177%
0.04387%
0.36975%
1.29256%
136.20538
5.29169%
0.01465%
0.32573%
1.24814%
136.18542
5.29169%
0.01466%
0.31103%
1.23330%
136.16546
5.29169%
0.01516%
0.29633%
1.21847%
136.14483
5.31186%
0.01472%
0.28113%
1.20313%
136.12479
5.31186%
0.04417%
0.26638%
1.18824%
136.06470
5.31186%
0.01472%
0.22211%
1.14357%
136.04467
5.31186%
0.01473%
0.20735%
1.12867%
136.02463
5.31186%
0.01473%
0.19260%
1.11378%
136.00460
5.31186%
0.01378%
0.17784%
1.09889%
135.98586
5.29169%
0.04460%
0.16404%
1.08496%
135.92523
5.30177%
0.01471%
0.11938%
1.03989%
135.90524
5.30177%
0.01410%
0.10465%
1.02503%
135.88607
5.29169%
0.01469%
0.09054%
1.01079%
135.86612
5.29169%
0.01536%
0.07584%
0.99595%
135.84525
5.30177%
0.04568%
0.06047%
0.98044%
135.78322
5.32194%
0.01478%
0.01478%
0.93433%
135.76315
5.32273%
0.01470%
0.42634%
0.91941%
135.74320
5.31264%
0.01475%
0.41158%
0.90458%
135.72318
5.32273%
0.01465%
0.39677%
0.88970%
135.70331
5.31264%
0.04412%
0.38207%
0.87492%
135.64346
5.31264%
0.01451%
0.33780%
0.83044%
135.62377
5.30255%
0.01491%
0.32323%
0.81580%
Updates

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

2024-12 Fixing Month

Survey Submission Window: CLOSED

  • 2024-11-29 to 2024-12-06

CRTx® Index Daily/Monthly/Weekly Evaluation/AI Training Datasets refreshed as of 2024-12-06. 

CRTx® Index Basket: NOV 2024  Factor Updates (11/25/2024)

  • CRTx® AGG principal paydowns were 1.09% of the Nov. basket UPB vs 2.13% in Sep.:​

    • $ 375 million in coupon payments.

    • $ 540 million in paydowns.

    • $      0 million in tender retirements.

  • -0.7 bps to Nov. CRTx® AGG total return due to paydowns.

  • Class C/Es gain more a few bps.

  • Aggregate 1st-loss B-piece index realized write-downs/shortfalls total return hit -7.2 bps for Nov.

  • November factor speeds faster, +14.3% quicker on average MoM based on STACR (seasoned range ~4- to 8-handle CPRs).

  • Total DQ%s slightly changed at +1.6% MoM (STACR).

  • One STACR deal continued to fail its DQ test in Oct, one CAS trips CE test.

  • SOFR coupon resets down -12.3 bps.

CRTx® Index Rebalancing (11/29/2024)

CRTx AGG Return Grid MED.png
CONTACT

CONTACT INFO:

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Mark Fontanilla & Co., LLC

255 W MLK Blvd Ste. 2402

Charlotte, NC 28202

mark@markfontanilla.com

O: 704-405-0575

C: 201-213-7168

SEND US A MESSAGE:

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