top of page

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.

May 2024 Month-End CRTx® Index Rebalancing Update

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

April 2024 Month-End CRTx® Index Rebalancing Update

March 2024 Month-End CRTx® Index Rebalancing Update

February 2024 Month-End CRTx® Index Rebalancing Update

MF&Co's Founder Mark Fontanilla appointed to the new IMN MBS Forum 2024's advisory board

Latest 2024-02-01 SCI/MF&Co SRTx™ (Significant Risk Transfer Index) Fixings

MF&Co Chief Strategist Mark Fontanilla to speak at: SCI's 8th Annual Risk Transfer & Synthetics Seminar

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

New Inductee Into The CRT “Hall-of-Fame” Credit Curve As Spreads Bull-Flatten (6/3/24)

Although benchmark Treasury yields have moved 60+ bps higher so far this year, credit spreads across the fixed income market have firmed moderately as risk-on demand has taken up new supply at attractively higher coupons. GSE CRT has followed the tightening move, enough so that the sector’s “hall-of-fame” new issue credit spread curve (the tightest historical composite M1/M2/B1/B2 new-issue pricing spread prints) has bull-flattened, with new inductees this year at the B2 spot, and now most recently in May at the B1 position. (Read more here)

Surfing A Shape-Shifting Curve (5/1/24)

The belly/long end of the curve backed up a virtually parallel 45-50bps in April, while the front end didn’t really move much at all. The curve is still inverted however, and fixed rate sectors were in the red for the month (and further in the red YTD) despite all the spread tightening in IG/HY. As the Fed keeps its stance at likely “higher for longer”, CRT and other floater coupons continue to benefit not only from higher coupon carry, but also from an intrinsic up-rate defensive convexity advantage over medium/long duration fixed rates. (Read more here)

With Credit Contained for Now, Look for Convexity Edge (4/1/24)

Deal-to-deal credit risk differentiation has perhaps moderated a bit across the complex, making good old-fashioned convexity a more discerning relative value factor than it has been recently, especially given the vast majority of the sector is trading at a premium right now. (Read more here)

“Bond Gravity” Limits Price Upside, But Carry Remains in Orbit (3/1/24)

At this point in the cycle, benchmark GSE CRT has likely limited price upside as “bond gravity”, including premium amortization effects and historic spread ranges, provide an increasing drag on how high market values may go from here, but carry remains substantial. (Read more here)

Add Recent Issues Down the Stack, Hold Seasoned Paper Amidst Steady, Supportive Backdrop (1/31/24)

Heading into February, sector relative value themes continue in the same vein as the beginning of the year: seasoned paper for risk/reward and scarcity value, newer issues relative to IG/HY, but with a few minor tweaks given the backdrop from the 4 Cs of fixed income relative value right now (we added a fourth C to last month’s commentary: conditions). (Read more here)

2024 Sector Outlook - From Asymmetric Reward to Asymmetric Risk (12/29/23)

When it comes to the 3 Cs of fixed income relative value – credit, convexity, and carry, the stars aligned for the benchmark GSE CRT market in 2023 to produce an all-time sector-record annual total return of 17.69%. For 2024, a repeat performance may not be likely as several key 2023 tailwinds at the least may stall out, or even possibly become headwinds, which would bring returns for 2024 back down towards more earthly levels. (Read more here)

Floater Coupons On Fed Watch (11/30/23)

Fed tightening has certainly helped floaters since March of last year. SOFR has gotten stuck within a few-bps range following every hike, and it hasn’t moved much from the 5.30%-ish level since the last Fed Funds raise in July. With the current economic backdrop at this point in the cycle, the risk of Fed cut/hold/raise is much more biased towards cut/hold as the inflation rate has tempered, but not necessarily to the Fed’s 2% target yet. Historically, the Fed has hiked to stave off inflation, cut to counter declining growth. The latest resilient GDP numbers would likely keep the Fed holding steady, but as soon as that changes and dips appear, historically unemployment and rates follow. (Read more here)

 

 

CRTx® Index Daily/Monthly/Weekly Evaluation/AI Training Datasets refreshed as of 2024-06 07. 

MFCo Index Total Returns   

 2024-06-14

RSKFREx™
Rate
Daily
MTD
YTD
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%
135.60356
5.31264%
0.01471%
0.30828%
0.80078%
135.58361
5.31264%
0.05853%
0.29352%
0.78595%
135.50430
5.30255%
0.01470%
0.23486%
0.72699%
135.48439
5.30255%
0.01470%
0.22013%
0.71219%
135.46448
5.30255%
0.01426%
0.20540%
0.69739%
135.44517
5.29247%
0.01515%
0.19112%
0.68304%
135.42465
5.30255%
0.04413%
0.17594%
0.66779%
135.36492
5.30255%
0.01471%
0.13175%
0.62338%
135.34500
5.30255%
0.01349%
0.11702%
0.60858%
135.32675
5.28238%
0.01530%
0.10352%
0.59501%
135.30605
5.29247%
0.01536%
0.08821%
0.57962%
135.28527
5.30255%
0.04417%
0.07284%
0.56418%
135.22553
5.30255%
0.01473%
0.02865%
0.51977%
135.20562
5.30255%
0.01392%
0.01392%
0.50497%
135.18680
5.29558%
0.01464%
0.49098%
0.49098%
135.16701
5.29558%
0.01464%
0.47627%
0.47627%
135.14722
5.29558%
0.04395%
0.46156%
0.46156%
135.08785
5.29558%
0.01482%
0.41743%
0.41743%
135.06784
5.30568%
0.01449%
0.40255%
0.40255%
135.04827
5.29558%
0.01488%
0.38801%
0.38801%
135.02818
5.30568%
0.01444%
0.37307%
0.37307%
135.00869
5.29558%
0.04433%
0.35859%
0.35859%
134.94887
5.30568%
0.01397%
0.31412%
0.31412%
134.93002
5.28548%
0.01581%
0.30011%
0.30011%
134.90869
5.31578%
0.01473%
0.28425%
0.28425%
134.88883
5.31578%
0.05841%
0.26948%
0.26948%
134.81008
5.30568%
0.01471%
0.21095%
0.21095%
134.79025
5.30568%
0.01413%
0.19621%
0.19621%
134.77122
5.29558%
0.01530%
0.18206%
0.18206%
134.75060
5.30568%
0.01472%
0.16673%
0.16673%
134.73077
5.30568%
0.04417%
0.15199%
0.15199%
134.67129
5.30568%
0.01548%
0.10778%
0.10778%
134.65045
5.31578%
0.01319%
0.09228%
0.09228%
134.63269
5.29558%
0.01551%
0.07908%
0.07908%
134.61181
5.30568%
0.06356%
0.06356%
0.06356%
134.52630
5.35298%
0.01475%
0.42796%
5.04225%
134.50646
5.33281%
0.01459%
0.41315%
5.02676%
134.48684
5.30255%
0.01459%
0.39850%
5.01144%
134.46722
5.29247%
0.05862%
0.38386%
4.99612%
134.38845
5.29247%
0.01466%
0.32505%
4.93461%
134.36876
5.29247%
0.01391%
0.31035%
4.91924%
134.35007
5.26221%
0.01458%
0.29640%
4.90465%
134.33049
5.26221%
0.01489%
0.28178%
4.88936%
134.31050
5.27230%
0.04462%
0.26686%
4.87375%
134.25060
5.29247%
0.01509%
0.22214%
4.82697%
134.23034
5.30255%
0.01381%
0.20702%
4.81116%
134.21181
5.28238%
0.01512%
0.19318%
4.79669%
134.19152
5.29247%
0.01518%
0.17804%
4.78084%
134.17115
5.30255%
0.04414%
0.16283%
4.76494%
134.11196
5.30255%
0.01349%
0.11864%
4.71872%
134.09387
5.28238%
0.01530%
0.10514%
4.70460%
134.07336
5.29247%
0.01536%
0.08983%
4.68858%
134.05277
5.30255%
0.01542%
0.07446%
4.67250%
134.03210
5.31264%
0.04427%
0.05903%
4.65637%
133.97280
5.31264%
0.01476%
0.01476%
4.61006%
133.95303
5.31342%
0.01470%
0.44279%
4.59463%
133.93335
5.31342%
0.01475%
0.42803%
4.57926%
133.91359
5.32351%
0.01473%
0.41321%
4.56383%
133.89387
5.32351%
0.04437%
0.39842%
4.54843%
133.83448
5.33360%
0.02953%
0.35389%
4.50206%
133.79497
5.33360%
0.01402%
0.32426%
4.47120%
133.77621
5.30333%
0.01497%
0.31020%
4.45656%
133.75620
5.31342%
0.04417%
0.29519%
4.44093%
133.69715
5.31342%
0.01472%
0.25091%
4.39482%
133.67746
5.31342%
0.01431%
0.23615%
4.37945%
133.65834
5.30333%
0.01470%
0.22181%
4.36452%
133.63869
5.30333%
0.01518%
0.20708%
4.34918%
133.61841
5.31342%
0.04421%
0.19187%
4.33334%
133.55936
5.31342%
0.01474%
0.14760%
4.28723%
133.53968
5.31342%
0.01413%
0.13284%
4.27186%
133.52081
5.30333%
0.01536%
0.11869%
4.25713%
133.50031
5.31342%
0.01475%
0.10332%
4.24113%
133.48063
5.31342%
0.04426%
0.08856%
4.22576%
133.42157
5.31342%
0.01476%
0.04428%
4.17965%
133.40189
5.31342%
0.01476%
0.02952%
4.16428%
133.38221
5.31342%
0.01476%
0.01476%
4.14891%
133.36252
5.31499%
0.01470%
0.47244%
4.13354%
133.34293
5.31499%
0.04422%
0.45768%
4.11824%
133.28399
5.32509%
0.01473%
0.41328%
4.07222%
133.26435
5.32509%
0.01457%
0.39848%
4.05688%
133.24494
5.31499%
0.01490%
0.38386%
4.04173%
133.22509
5.32509%
0.01496%
0.36890%
4.02622%
133.20516
5.33518%
0.04371%
0.35389%
4.01066%
133.14696
5.31499%
0.01539%
0.31004%
3.96522%
133.12647
5.33518%
0.01442%
0.29461%
3.94922%
133.10728
5.32509%
0.01514%
0.28015%
3.93424%
133.08713
5.33518%
0.01478%
0.26497%
3.91850%
133.06746
5.33518%
0.04537%
0.25015%
3.90314%
133.00711
5.35537%
0.01538%
0.20468%
3.85602%
132.98666
5.36547%
0.01321%
0.18928%
3.84006%
132.96910
5.33518%
0.01597%
0.17605%
3.82634%
132.94788
5.35537%
0.05874%
0.16006%
3.80977%
132.86982
5.34528%
0.01338%
0.10125%
3.74882%
132.85204
5.32509%
0.01403%
0.08786%
3.73494%
132.83341
5.31499%
0.01397%
0.07382%
3.72039%
132.81485
5.30490%
0.01554%
0.05984%
3.70590%
132.79421
5.31499%
0.04429%
0.04429%
3.68978%
132.73542
5.31264%
0.01470%
0.42715%
3.64388%
132.71592
5.31264%
0.01475%
0.41239%
3.62865%
132.69634
5.32273%
0.01473%
0.39758%
3.61336%
132.67680
5.32273%
0.01473%
0.38279%
3.59810%
132.65726
5.32273%
0.04402%
0.36801%
3.58284%
132.59889
5.31264%
0.01471%
0.32385%
3.53727%
132.57938
5.31264%
0.01471%
0.30909%
3.52204%
132.55988
5.31264%
0.01472%
0.29434%
3.50681%
132.54038
5.31264%
0.01472%
0.27958%
3.49158%
132.52087
5.31264%
0.04378%
0.26482%
3.47635%
132.46287
5.30255%
0.01470%
0.22094%
3.43106%
132.44340
5.30255%
0.01470%
0.20621%
3.41586%
132.42394
5.30255%
0.01470%
0.19148%
3.40066%
132.40447
5.30255%
0.01471%
0.17675%
3.38546%
132.38500
5.30255%
0.04414%
0.16202%
3.37026%
132.32660
5.30255%
0.01471%
0.11783%
3.32466%
132.30713
5.30255%
0.01472%
0.10311%
3.30945%
132.28766
5.30255%
0.01405%
0.08838%
3.29425%
132.26908
5.29247%
0.05958%
0.07432%
3.27974%
132.19032
5.30255%
0.01473%
0.01473%
3.21825%
132.17085
5.30412%
0.01470%
0.45587%
3.20305%
132.15143
5.31421%
0.01459%
0.44111%
3.18788%
132.13216
5.29402%
0.01481%
0.42646%
3.17283%

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

2024-06 Fixing Month - Survey Submission Window: CLOSED

Index Updates

CRTx® Index Basket: MAY 2024  Factor Updates (5/28/2024)

  • CRTx® AGG principal paydowns/ tenders were 3.22% of the May basket UPB vs 2.28% in April:​

    • $ 428 million in coupon payments.

    • $ 427 million in normal paydowns.

    • $1,191 million in tender retirements.

  • +1.5 bps to May CRTx® AGG total return due to paydowns/tenders.

  • Class C/Es a few bps higher.

  • Aggregate 1st-loss B-piece index realized write-downs/shortfalls total return hit -4.9bps for May.

  • May factor speeds +11.5% faster on average MoM based on STACR (seasoned range ~4- to 7-handle CPRs).

  • Total DQ%s -2.4% lower MoM (STACR).

  • One STACR deal continued to fail its DQ test in May and one STACR deal temporarily failed its min. CE test.

  • SOFR coupon resets little changed MoM at -0.6 bps.

CONTACT

CONTACT INFO:

MFCo Logo Compact Dark_edited.png

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:

Thanks for your inquiry, we'll be back to you soon.

bottom of page