Credit Risk Transfer Return Tracking Index
The CRTx® is a fixed income total return index that tracks the aggregate performance generated from a dynamic basket of Credit Risk Transfer (CRT) securities that have been issued into the private market by the Government Sponsored Enterprises (GSEs) Fannie Mae and Freddie Mac.
LATEST CRTx® Index Rebalancing Update (5/3/2021)
The CRTx® Aggregate posted its best monthly return of the year, ending April up 1.25% MoM, and reversing March’s volatility-led decline. A flattening of the CRT credit curve, improving credit/structure performance, and supportive technicals helped the CRT sector rebound from March.
CRTx® Aggregate Index May 2021 Constituency (MoM ∆):
Beg. UPB: $47.62 B (-0.5%)
Beg. Market Value: $48.94 B (+0.4%)
Num. of Securities: 238 (+2)
WAvg Coupon: 3.89% (+1 bps)
WAvg Constituent Value: 102.78 (+0.95 pts)
CRTx® Daily Return Summary *
For information on CRTx® licensing, data usage, and redistribution of the CRTx® suite of indexes, please contact:
Mark Fontanilla & Co., LLC
255 W MLK Blvd
Charlotte, NC 28202
C: (201) 213-7168
O: (704) 405-0575
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