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 (1/4/2021)
CRTx® Aggregate Index
Jan 2021 Constituency (MoM ∆):
Beg. UPB: $47.15 B (+0.5%)
Beg. Market Value: $47.72 B (+2.0%)
Num. of Securities: 230 (+2)
WAvg Coupon: 3.92% (-1 bps)
WAvg Constituent Value: 101.22 (+1.54 pts)
The CRTx® Aggregate finished 2020 strong, ending December up 1.91% MoM, and Q4 positive by 4.16%, while closing out the year with a relatively modest, but meaningful 2.26% YTD total return. The COVID-19 pandemic’s extraordinary stress on the CRT market in Q1, where the CRTx® Aggregate lost nearly 25%, and the sector’s subsequent recovery, lagged other rates and credit sectors substantially, but the rebound in market values, credit performance, issuance, and market technicals all helped benchmark GSE CRT end 2020 on a number of positive notes. The CRTx® Aggregate Index starts 2021 at $47.7 billion in market value (vs $49.7 billion at the beginning of January) across 230 constituents.
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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