November 2022 Month-End CRTx® Index Rebalancing Update

October 2022 Month-End CRTx® Index Rebalancing Update

MF&Co Chief Strategist Mark Fontanilla to speak at: IMN's 28th Annual ABS East Conference (Miami Beach, FL) 10/17/22

September 2022 Month-End CRTx® Index Rebalancing Update

August 2022 Month-End CRTx® Index Rebalancing Update

July 2022 Month-End CRTx® Index Rebalancing Update

June 2022 Month-End CRTx® Index Rebalancing Update

May 2022 Month-End CRTx® Index Rebalancing Update

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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 (

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

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

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.

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Providing Comprehensive Strategic Consulting and Advisory Services To The Markets

LATEST CRTx® Index Rebalancing Metrics (12/1/2022)

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CRTx® Index Basket: NOV 2022  Factor Updates (11/25/2022)

  • CRTx® AGG principal paydown percentage was 0.84% of Nov basket UPB, vs 1.46% in Oct:

    • $ 447 million in paydowns

    • $ 335 million in coupon payments

  • +0.2bps to Nov CRTx® AGG total return due to paydowns.

  • Class C/Es only slightly higher

  • Aggregate 1st-loss B-piece index realized write-downs/shortfalls total return hit -2.7bps for November.

  • November factor speeds down 1-2CPR for STACR (seasoned range ~6-10 CPR).

  • Total DQ%s generally up modestly, 180+ DQ #/$ still dropping high-single digits % MoM, while 30d DQs edge up again.

  • 9 reference pool groups continued to fail their DQ Test in Nov, down 1 vs. 10 in Oct.

  • LIBOR resets +43bps, SOFR resets +53bps.



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Mark Fontanilla & Co., LLC

255 W MLK Blvd Ste. 2402

Charlotte, NC 28202

O: 704-405-0575

C: 201-213-7168


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