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
The Curve's Localized Volatility (08/31/23)
The curve continues to be persistently inverted with the Fed recently stating its inflation fight is not necessarily over. This keeps a steady/upward bias to the front end and, since the middle of last year, much of the curve volatility has been seen here. But now, short rates have largely stalled out waiting for the next Fed move, while the belly/long end of the curve has taken on a little more volatility. 2-10yr Treasury yields are +20-40bps higher YTD, negatively affecting major rates and corporate segments. Meanwhile, shorter durations are carrying much better with relatively less volatility at this juncture.
A Decade Of Benchmark GSE CRT (07/31/23)
The first benchmark GSE CRT deal in history, Freddie Mac’s STACR 2013-DN1, just matured this month, marking the 10-year anniversary of the GSE CRT market. The 2nd sector deal ever issued, Fannie Mae’s CAS 2013-C01 is slated to mature in October, and after a decade, the market has evolved into a staple asset in mortgage credit securitization. Since inception in 2013, there have been 136 deals, totaling over $131B in lifetime issuance, referencing nearly $4.6T in loans. Based on the CRTx® Aggregate Index, if you had invested in the first 2013 deals, and stayed reinvested in the market to now, your total return would be 83.2%, or a simple annualized rate of 6.24%. Not bad versus rates and credit in the age of lower-to-higher rates.


SCI/MF&Co SRTx™ (Significant Risk Transfer Index)
SRTx™ 2023-09-05 Fixings Released
Next 2023-10-02 Survey Submission Window: 2023-09-25 to 2023-10-02
LATEST CRTx® Index Rebalancing Metrics (8/31/2023)

CRTx® Index Basket: AUG 2023 Factor Updates (8/25/2023)
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CRTx® AGG principal paydowns were 0.77% of the Aug. basket UPB vs 0.96% in July:
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$ 414 million in coupon payments
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$ 402 million in paydowns
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-0.0 bps to Aug. CRTx® AGG total return due to paydowns.
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Class C/Es a few bps higher.
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Aggregate 1st-loss B-piece index realized write-downs/shortfalls total return hit -2.6bps for Aug.
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Aug. factor speeds slightly slower on average MoM based on STACR (seasoned range ~4- to 9-handle CPRs).
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Total DQ%s edge up MoM (STACR), while 180+ DQ #/$ stay low.
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3 reference pool groups continued to fail DQ tests in Aug., no change MoM.
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All resets SOFR-based now, higher by ~20bps MoM.
CONTACT INFO:

Mark Fontanilla & Co., LLC
255 W MLK Blvd Ste. 2402
Charlotte, NC 28202
O: 704-405-0575
C: 201-213-7168